| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w5027 |
| 来源ID | Working Paper 5027 |
| Maximizing Predictability in the Stock and Bond Markets | |
| Andrew W. Lo; A. Craig MacKinlay | |
| 发表日期 | 1995-02-01 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return-horizon changes. Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w5027 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562456 |
| 推荐引用方式 GB/T 7714 | Andrew W. Lo,A. Craig MacKinlay. Maximizing Predictability in the Stock and Bond Markets. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w5027.pdf（577KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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