Return Prediction and Stock Selection from Unidentified Historical Data

Abstract

The experimental approach is applied to explore the value of unidentified historical information in stock-return prediction. Return sequences were randomly drawn cross section and time from historical S&P500 data. Subjects were requested to predict returns or select stocks from 12 preceding realizations. The hypothesis that predictions are randomly assigned… (More)

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Cite this paper

@inproceedings{Sonsino2008ReturnPA, title={Return Prediction and Stock Selection from Unidentified Historical Data}, author={Doron Sonsino and Tal Shavit}, year={2008} }