کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5089591 1375597 2013 12 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting the size premium over different time horizons
ترجمه فارسی عنوان
پیش بینی میزان حق بیمه در مورد افق های مختلف زمانی
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
چکیده انگلیسی

In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.

► We find evidence that the size premium is predictable both in- and out-of-sample. ► Forecasting is possible over time horizons that range from one month to one year. ► The predictability of the size premium can be used in active portfolio management.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 37, Issue 3, March 2013, Pages 1061-1072
نویسندگان
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