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

Détails

ID Serval
serval:BIB_03CCC0B82778
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Titre
Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?
Périodique
The Review of Financial Studies
Auteur(s)
Goyal A., Jegadeesh N.
ISSN
0893-9454
1465-7368
Statut éditorial
In Press
Peer-reviewed
Oui
Langue
anglais
Résumé
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.
Mots-clé
Economics and Econometrics, Accounting, Finance
Création de la notice
28/01/2018 21:26
Dernière modification de la notice
21/08/2019 6:18
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