Simple forecasts and paradigm shifts

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We study the asset pricing implications of learning in an environment in which the true model of the world is a multivariate one, but agents update only over the class of simple univariate models. Thus, if a particular simple model does a poor job of forecasting over a period of time, it is discarded in favor of an alternative simple model. The theory yields a number of distinctive predictions for stock returns, generating forecastable variation in the magnitude of the value-glamour return differential, in volatility, and in the skewness of returns. We validate several of these predictions empirically..Printed Journal

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Ketersediaan

Call Number	Location	Available
	PSB lt.dasar - Pascasarjana	1

Informasi Detail

Judul Seri

-

No. Panggil

JOF6203

Penerbit

: The American Finance Association.,

Deskripsi Fisik

-

Bahasa

English

ISBN/ISSN

221082

Klasifikasi

NONE

Tipe Isi

-

Tipe Media

-

Tipe Pembawa

-

Edisi

-

Subjek

Forecasting
Multivariate analysis
Models
Volatility
studies
Rates of return

Info Detail Spesifik

JOF6203 ; BACA DITEMPAT

Pernyataan Tanggungjawab

pa

Versi lain/terkait

Lampiran Berkas

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