| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w23886 |
| 来源ID | Working Paper 23886 |
| Predicting Relative Returns | |
| Valentin Haddad; Serhiy Kozak; Shrihari Santosh | |
| 发表日期 | 2017-10-02 |
| 出版年 | 2017 |
| 语种 | 英语 |
| 摘要 | Across a variety of asset classes, we show that relative returns are highly predictable in the time series in and out of sample, much more so than aggregate returns. For Treasuries, slope is more predictable than level. For equities, dominant principal components of anomaly long-short strategies are more predictable than the market. For foreign exchange, a carry portfolio is more predictable than a basket of all currencies against the dollar. We show the commonly used practice to predict each individual asset is often equivalent to predicting only their first principal component, the index, which obscures the predictability of relative returns. Our findings highlight that focusing on important dimensions of the cross-section allows one to uncover additional economically relevant and statistically robust patterns of predictability. |
| 主题 | International Economics ; International Finance ; Globalization and International Relations ; Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w23886 |
| 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/581558 |
| 推荐引用方式 GB/T 7714 | Valentin Haddad,Serhiy Kozak,Shrihari Santosh. Predicting Relative Returns. 2017. |
| 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 | ||
| w23886.pdf（2398KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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