Should we expect significant out-of-sample results when predicting stock returns?
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Author
Publication
2006 - Federal Reserve Board, Washington, D.C, District of Columbia
Language
English
Word Count
0 words, Guess
Page Count
0 pages
Physical Format
Electronic resource
Identifiers
- Library of Congress Control Number2006619352
- Open LibraryOL31759689M
Classifications
- LCCHG3879
Description
"Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated"--Federal Reserve Board web site.
Subjects
Series Statement
- International finance discussion papers -- no. 855
- International finance discussion papers (Online) -- no. 855.
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