Stock return serial dependence and out-of-sample portfolio performance

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Stock return serial dependence and out-of-sample portfolio performance

Uppal, Raman - ; DeMiguel, Victor - ; Nogales, Fransisco J. - ;

We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expected returns regardless of the sign of asset return cross-covariances and autocovariances. Empirically, we show, however, that both the arbitrage and mean-variance portfolios based on the VAR model outperform the traditional unconditional portfolios only for transaction costs below ten basis points. .Printed Journal, baca ditempat

Ketersediaan

Call Number	Location	Available
TRFS2704	PSB lt.dasar - Pascasarjana	1

Penerbit	The Society of Financial Studies.,
Edisi	-
Subjek	Investment decisions Portfolio Choice
ISBN/ISSN	8939454
Klasifikasi	-
Deskripsi Fisik	-
Info Detail Spesifik	-
Other Version/Related	Tidak tersedia versi lain
Lampiran Berkas	Tidak Ada Data