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The cost of diversification over time, and a simple way to improve target-date funds

Levy, Haim; Levy, Moshe - In: Journal of banking & finance 122 (2021), pp. 1-16

Persistent link: https://www.econbiz.de/10012659656

Forecasting stock returns : an examination of stock market trading in the presence of transaction costs

Pesaran, M. Hashem - In: Journal of forecasting 13 (1994) 4, pp. 335-367

Persistent link: https://www.econbiz.de/10001166232

On luck versus skill when performance benchmarks are style-consistent

Agyei-Ampomah, Sam; Clare, Andrew D.; Mason, Andrew; … - In: Journal of banking & finance 59 (2015), pp. 127-145

Persistent link: https://www.econbiz.de/10011544303

An examination of ex ante fund performance : identifying indicators of future performance

Clare, Andrew D.; Clare, Mariana - In: The journal of asset management 20 (2019) 3, pp. 175-195

Persistent link: https://www.econbiz.de/10012059790

Past returns and the perceived Sharpe ratio

Kaplanski, Guy; Levy, Haim; Veld, Chris H.; Veld- … - In: Journal of economic behavior & organization : JEBO 123 (2016), pp. 149-167

Persistent link: https://www.econbiz.de/10011584254

Testing for alpha in linear factor pricing podels with a large number of securities

Pesaran, M. Hashem; Yamagata, Takashi - 2017

This paper proposes a novel test of zero pricing errors for the linear factor pricing model when the number of securities, N, can be large relative to the time dimension, T, of the return series. The test is based on Student t tests of individual securities and has a number of advantages over...

Persistent link: https://www.econbiz.de/10011646274