کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
7349601 | 1476601 | 2018 | 6 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
A new tight and general bound on return predictability
ترجمه فارسی عنوان
یک محدودیت جدید تنگ و کلی بر پیش بینی بازگشت
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
چکیده انگلیسی
We propose a novel upper bound on the predictability of asset returns. This bound is tighter than the bound proposed by Ross (2005) because it takes into account not only the volatility of the pricing kernel but also the correlation between the pricing kernel and trading strategies that exploit predictability. It is also at least as tight as the bound proposed by Huang and Zhou (2017). We apply our bound to study the predictability of returns on currencies of emerging and developed economies from 1994 to 2016. We find evidence of return predictability in excess of the bound, especially for emerging markets currencies. This implies either market inefficiency or, alternatively, that investors either can become very risk-averse or price currencies using a model radically different from the CAPM. In contrast, the evidence of excess-predictability is much weaker under the wider bound proposed by Ross (2005).
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Economics Letters - Volume 162, January 2018, Pages 140-145
Journal: Economics Letters - Volume 162, January 2018, Pages 140-145
نویسندگان
Valerio Potì,