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Maximizing Predictability in the Stock and Bond Markets / Andrew W. Lo, A. Craig MacKinlay.
- Format:
- Book
- Author/Creator:
- Lo, Andrew W.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w5027.
- NBER working paper series no. w5027
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1995.
- Summary:
- We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return-horizon changes. Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant.
- Notes:
- Print version record
- February 1995.
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