A new tight and general bound on return predictability

DOI10.1016/J.ECONLET.2017.11.010zbMath1397.91610OpenAlexW2770406733MaRDI QIDQ1787253

Valerio Potì

Publication date: 5 October 2018

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2017.11.010

zbMATH Keywords

market efficiencypredictability boundscurrency strategies

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70)

Related Items (2)

Measuring excess-predictability of asset returns and market efficiency over time ⋮ Long horizon predictability: an asset allocation perspective

Cites Work

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• How much stock return predictability can we expect from an asset pricing model?

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