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- W1534814062 abstract "Small-return predictability in the stock market has been widely documented in empirical studies, yet little has been written on its economic importance. This paper examines the issue through profitability on a trading strategy that utilizes small levels of predictability and analyzes the statistical distribution for returns achieved under such a strategy. Our results suggest that small-return predictability is economically significant in the sense that such trading strategies not only yield high returns but also are less risky under a fat tail distribution assumption. Quantitatively, we demonstrate that such a strategy could have doubled the market return for the period 1952 to 1998. We investigate reliability of our results through simulation and bootstrapping." @default.
- W1534814062 created "2016-06-24" @default.
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- W1534814062 date "2003-01-01" @default.
- W1534814062 modified "2023-09-23" @default.
- W1534814062 title "Small Levels of Predictability and Large Economic Gains" @default.
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- W1534814062 doi "https://doi.org/10.2139/ssrn.398440" @default.
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