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Predictive Systems : Living with Imperfect Predictors

Pastor, Lubos - 2008

We develop a framework for estimating expected returns---a <i>predictive system</i>---that allows predictors to be imperfectly correlated with the conditional expected return. When predictors are imperfect, the estimated expected return depends on past returns in a manner that hinges on the correlation...

Persistent link: https://www.econbiz.de/10012464843

Predictive Systems : Living with Imperfect Predictors

Pastor, Lubos - 2007

The standard regression approach to modeling return predictability seems too restrictive in one way but too lax in another. A predictive regression models expected returns as an exact linear function of a given set of predictors but does not exploit the likely economic property that innovations...

Persistent link: https://www.econbiz.de/10012465843

Analyzing Investments Whose Histories Differ in Length

Stambaugh, Robert F. - 1997

-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk … the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the … sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates …

Persistent link: https://www.econbiz.de/10012472906

On the Predictability of Stock Returns : An Asset-Allocation Perspective

Kandel, Shmuel - 1995

The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the...

Persistent link: https://www.econbiz.de/10012473901