Highly Influential

- Published 2013

Using a new measure for predictability combining economic and statistical criteria I find that in the S&P 500 market neither stochastic volatility, nor valuationbased information are advantageous over a homoscedastic return model. The testing framework is based on a benchmark trading strategy with optimal Sharpe ratio. The strategy’s expected excess returns… CONTINUE READING

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Highly Influential

Highly Influential

Highly Influential

Highly Influential

Highly Influential

Highly Influential

Highly Influential

Highly Influential

Highly Influential

Highly Influential

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