Data di Pubblicazione:
2010
Abstract:
This paper examines the ex-post performance of optimal portfolios with predictable returns, when
the investor horizon ranges from one month to ten years. Due to the investor's ability to anticipate
shifts from bull to bear markets, predictability involves the risk premium, volatility and correlations, and
may extend to third and fourth moments. We analyze three dierent equity portfolios datasets, each
covering more than eight indexes, including the commonly used US Industry and International Book-toMarket portfolios. Allowing for regimes improves portfolio performance for at least a subset of investment
horizons in all datasets. Despite large non-normalities in both the Industry and the BM dataset, gains
from predicting higher order moments obtain only in the latter - where third rather than fourth moments
matte
Tipologia CRIS:
02A-Contributo in volume
Keywords:
Stock Market Regimes; Return Predictability; Skew and Kurtosis; Equity Diversification
Elenco autori:
M. Guidolin; G.Nicodano
Link alla scheda completa:
Titolo del libro:
Carlo Alberto Notebook
Pubblicato in: