Showing 1 - 7 of 7
A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...
Persistent link: https://www.econbiz.de/10013118691
Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...
Persistent link: https://www.econbiz.de/10013103525
Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...
Persistent link: https://www.econbiz.de/10013065851
Greater skill of active investment managers can mean less fee revenue in a general equilibrium. Although more … portfolio choices. Greater skill also means, however, that active management corrects prices better and thus reduces managers … rationally allocate less to active funds and more to index funds if active management is more skilled …
Persistent link: https://www.econbiz.de/10012479976
Persistent link: https://www.econbiz.de/10012050844
A plot of expected returns versus betas obeys virtually no relation to an inefficient index portfolio's mean-variance location. If the index portfolio is inefficient, then the coefficients and R- squared from an ordinary-least-squares regression of expected returns on betas can equal essentially...
Persistent link: https://www.econbiz.de/10012474226
Extremely long odds accompany the chance that spurious-regression bias accounts for investor sentiment's observed role in stock-return anomalies. We replace investor sentiment with a simulated persistent series in regressions reported by Stambaugh, Yu and Yuan (2012), who find higher long-short...
Persistent link: https://www.econbiz.de/10012460429