Pástor, Ľuboš (contributor); … - 2006
,
but its innovations are positively correlated with the residuals in that regression. The latter cor-
relation, opposite in ….9. However, with a more informative belief that innovations in expected returns are
negatively correlated with unexpected returns … innovations increases the fraction of explained variance ofSYN
t
to 95%.
We also include as predictors two more familiar choices …