Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5091016 | Journal of Banking & Finance | 2007 | 14 Pages |
Abstract
This paper measures the utility gains from exploiting short-run predictability in the volatility of stock returns in a dynamic model in the the presence of transaction costs, short-selling constraints and estimation risk. We find that utility gains are quite significant, both ex ante and out-of-sample.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Francisco J. Gomes,