کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958861 | 929089 | 2007 | 22 صفحه PDF | دانلود رایگان |
This paper examines the impact of specification uncertainty on the performance of international mean–variance conditional asset allocation. Specification uncertainty is defined as the uncertainty faced by the investor regarding the specification choices necessary to implement a conditional strategy. To assess the impact of this phenomenon, we measure the performance of a group of strategies that the investor could reasonably consider. The strong performance variability across the strategies indicates that the gains previously documented are overstated. Our findings provide an explanation to the apparent paradox between the economic and statistical significance of predictability, and are consistent with the semi-strong form of market efficiency.
Journal: Journal of Empirical Finance - Volume 14, Issue 4, September 2007, Pages 443–464