Maximizing predictability in the stock and bond markets / Andrew W. Lo, A. Craig MacKinlay.

• We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return-horizon changes. Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant.

Ämnesord

Stock price forecasting  -- Econometric models (LCSH)

Rate of return  -- Forecasting -- Econometric models (LCSH)

Stocks  -- Prices (LCSH)

Bonds  -- Econometric models (LCSH)

Publikations- och innehållstyp

332.63222 (DDC)

Qaeca (kssb/8 (machine generated))