Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5089483 | Journal of Banking & Finance | 2012 | 14 Pages |
Abstract
⺠We compare statistical and economic performance of return prediction models. ⺠Statistical and economic measures can yield very different results. ⺠Most models perform poorly in the statistical sense compared to a benchmark. ⺠At the same time, they perform better in the economic sense than a benchmark. ⺠The relation between statistical and economic performance tends to be weak.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Tolga Cenesizoglu, Allan Timmermann,