Showing 71 - 80 of 23,467
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012471761
We evaluate the performance of models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. We compare the models' forecasts of future covariances and the optimized portfolios' out-of-sample performance. A few factors capture the general covariance...
Persistent link: https://www.econbiz.de/10012788937
We evaluate the performance of different models for the covariance structure of stock returns, focusing on their use for optimal portfolio selection. Comparisons are based on forecasts of future covariances as well as the out-of-sample volatility of optimized portfolios from each model. A few...
Persistent link: https://www.econbiz.de/10012763801
Persistent link: https://www.econbiz.de/10001378371
Persistent link: https://www.econbiz.de/10006533813
Persistent link: https://www.econbiz.de/10006292185
We examine whether the predictability of future returns from past returns is due to the market's underreaction to information, in particular to past earnings news. Past return and past earnings surprise each predict large drifts in future returns after controlling for the other. Market risk,...
Persistent link: https://www.econbiz.de/10005214832
Persistent link: https://www.econbiz.de/10007320951
Persistent link: https://www.econbiz.de/10007261387
Persistent link: https://www.econbiz.de/10006978937