FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2243386557> ?p ?o ?g. }

• W2243386557 abstract "Despite the extensive empirical evidence on return predictability, the question whether investors can profit from return predictability in real time remains unsettled. One problem is that the predictive model is likely misspecified, which has received little attention. By taking a more careful approach that guards against model mis-specification, we study the economic significance of return predictability by evaluating extensively the out-of-sample portfolio performance of various predictive models and variations of predictive variables. We find that investors can benefit from predicting the sign, but not the magnitude, of the market expected returns only in periods when the market performs poorly. We also find that there is no significant performance difference among the predictive models, although the best statistical model often performs the worst and a GARCH feature seems important." @default.
• W2243386557 created "2016-06-24" @default.
• W2243386557 creator A5029971682 @default.
• W2243386557 date "2005-01-01" @default.
• W2243386557 modified "2023-09-23" @default.
• W2243386557 title "Can An Investor Profit from Return Predictability in Real Time?" @default.
• W2243386557 cites W1482686168 @default.
• W2243386557 cites W1492866148 @default.
• W2243386557 cites W1496978175 @default.
• W2243386557 cites W1508755975 @default.
• W2243386557 cites W1603353372 @default.
• W2243386557 cites W1933453720 @default.
• W2243386557 cites W1966268097 @default.
• W2243386557 cites W1975161917 @default.
• W2243386557 cites W1981970068 @default.
• W2243386557 cites W1999814123 @default.
• W2243386557 cites W2006808353 @default.
• W2243386557 cites W2007682563 @default.
• W2243386557 cites W2007785900 @default.
• W2243386557 cites W2020364121 @default.
• W2243386557 cites W2021824814 @default.
• W2243386557 cites W2072799098 @default.
• W2243386557 cites W2077207288 @default.
• W2243386557 cites W2089556049 @default.
• W2243386557 cites W2089861335 @default.
• W2243386557 cites W2094825138 @default.
• W2243386557 cites W2107414928 @default.
• W2243386557 cites W2119301009 @default.
• W2243386557 cites W2127951175 @default.
• W2243386557 cites W2131177033 @default.
• W2243386557 cites W2132286633 @default.
• W2243386557 cites W2138113134 @default.
• W2243386557 cites W2153507057 @default.
• W2243386557 cites W2153807074 @default.
• W2243386557 cites W2263098707 @default.
• W2243386557 cites W2765365912 @default.
• W2243386557 cites W2891708466 @default.
• W2243386557 cites W3021527028 @default.
• W2243386557 cites W3022041122 @default.
• W2243386557 cites W3121370087 @default.
• W2243386557 cites W3121451334 @default.
• W2243386557 cites W3121542091 @default.
• W2243386557 cites W3121790069 @default.
• W2243386557 cites W3122056477 @default.
• W2243386557 cites W3122085781 @default.
• W2243386557 cites W3122206234 @default.
• W2243386557 cites W3122555292 @default.
• W2243386557 cites W3123011812 @default.
• W2243386557 cites W3123029587 @default.
• W2243386557 cites W3123162185 @default.
• W2243386557 cites W3123320210 @default.
• W2243386557 cites W3123403882 @default.
• W2243386557 cites W3123566210 @default.
• W2243386557 cites W3123994138 @default.
• W2243386557 cites W3124485385 @default.
• W2243386557 cites W3124684890 @default.
• W2243386557 cites W3124806669 @default.
• W2243386557 cites W3125017137 @default.
• W2243386557 cites W3125396854 @default.
• W2243386557 cites W3125513475 @default.
• W2243386557 cites W3125535934 @default.
• W2243386557 cites W3125678160 @default.
• W2243386557 cites W3126069557 @default.
• W2243386557 cites W3125593626 @default.
• W2243386557 doi "https://doi.org/10.2139/ssrn.625344" @default.
• W2243386557 hasPublicationYear "2005" @default.
• W2243386557 type Work @default.
• W2243386557 sameAs 2243386557 @default.
• W2243386557 citedByCount "4" @default.
• W2243386557 crossrefType "journal-article" @default.
• W2243386557 hasAuthorship W2243386557A5029971682 @default.
• W2243386557 hasConcept C105795698 @default.
• W2243386557 hasConcept C106159729 @default.
• W2243386557 hasConcept C118315980 @default.
• W2243386557 hasConcept C149782125 @default.
• W2243386557 hasConcept C162118730 @default.
• W2243386557 hasConcept C162324750 @default.
• W2243386557 hasConcept C175444787 @default.
• W2243386557 hasConcept C181622380 @default.
• W2243386557 hasConcept C197640229 @default.
• W2243386557 hasConcept C23922673 @default.
• W2243386557 hasConcept C2780821815 @default.
• W2243386557 hasConcept C33923547 @default.
• W2243386557 hasConcept C41008148 @default.
• W2243386557 hasConcept C91602232 @default.
• W2243386557 hasConceptScore W2243386557C105795698 @default.
• W2243386557 hasConceptScore W2243386557C106159729 @default.
• W2243386557 hasConceptScore W2243386557C118315980 @default.
• W2243386557 hasConceptScore W2243386557C149782125 @default.
• W2243386557 hasConceptScore W2243386557C162118730 @default.
• W2243386557 hasConceptScore W2243386557C162324750 @default.
• W2243386557 hasConceptScore W2243386557C175444787 @default.
• W2243386557 hasConceptScore W2243386557C181622380 @default.
• W2243386557 hasConceptScore W2243386557C197640229 @default.
• W2243386557 hasConceptScore W2243386557C23922673 @default.
• W2243386557 hasConceptScore W2243386557C2780821815 @default.
• W2243386557 hasConceptScore W2243386557C33923547 @default.
• W2243386557 hasConceptScore W2243386557C41008148 @default.
• W2243386557 hasConceptScore W2243386557C91602232 @default.
• W2243386557 hasLocation W22433865571 @default.

• next