Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
9731472 | The Quarterly Review of Economics and Finance | 2005 | 16 Pages |
Abstract
We examine the out of sample performance of country equity asset allocation strategies between January 1985 and February 2000 that use conditional versions of international asset pricing models to forecast expected returns. We find that strategies that use conditional asset pricing models tend not to outperform a strategy that uses the sample mean to forecast expected returns. We find that this result is fairly robust across different levels of risk aversion, whether riskless lending is available or not, and when we impose upper bound constraints.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jonathan Fletcher, Joe Hillier,