Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Details

Serval ID
serval:BIB_03CCC0B82778
Type
Article: article from journal or magazin.
Collection
Publications
Title
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
Journal
The Review of Financial Studies
Author(s)
Goyal A., Jegadeesh N.
ISSN
0893-9454
1465-7368
Publication state
Published
Issued date
05/2018
Peer-reviewed
Oui
Volume
31
Number
5
Pages
1784-1824
Language
english
Abstract
We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets. For individual stocks, the difference between the performances of TS and CS strategies is largely due to this time-varying net long investment. With multiple international asset classes with heterogeneous return distributions, scaled CS strategies significantly outperform similarly scaled TS strategies.
Keywords
Economics and Econometrics, Accounting, Finance
Create date
28/01/2018 21:26
Last modification date
22/05/2020 6:21
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