The time traveller’s CAPM

@article{French2017TheTT,
  title={The time traveller’s CAPM},
  author={Jordan French},
  journal={Investment Analysts Journal},
  year={2017},
  volume={46},
  pages={81 - 96}
}
  • J. French
  • Published 3 April 2017
  • Business
  • Investment Analysts Journal
ABSTRACT This empirical study comprises six emerging market portfolios and five industry replicating portfolios from the USA, using data from 2005 to 2014. The purpose of this study is to test the ability of the ex-ante beta against the ex-post beta using six different generalised autoregressive conditional heteroscedasticity (GARCH) models and the machine learning artificial neural network (ANN) to construct the ex-ante models. Whereas most studies use GARCH models for ultra-short forecasts… 

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