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This paper investigates the predictability of asset prices among developed and emerging markets. Weekly and monthly …
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The study examines the predictability of 48 sovereign bond markets based on a strategy of 27,000 technical trading … bond markets is predictable, based on the buy-sell signals generated by trading rules, with the predictability of the … emerging Asian markets being significantly higher than those of the advanced markets; (ii) the predictability is generally …
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The most popular method of calculating asset prices is the capital asset pricing model (CAPM). What is the appropriate amount of years to use in the estimation and which variation of the capital asset pricing beta provides the best results? This research looks at the out of sample forecasting...
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