Exploiting Short-Run Predictability

  title={Exploiting Short-Run Predictability},
  author={Francisco J. Gomes},
This paper measures the utility gains from exploiting short-run predictability in the volatility of stock returns in a dynamic model in the the presence of transaction costs, short-selling constraints and estimation risk. We find that utility gains are quite significant, both ex ante and out-of-sample. JEL Classification: G11. 

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