Published in:FRB International Finance Discussion Paper ; No. 855
Extent:
1 Online-Ressource (15 p)
Language:
Not determined
DOI:
10.2139/ssrn.894278
Identifier:
Origination:
Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments February 2006 erstellt
Description:
Using Monte Carlo simulations, I show that typical out-of-sample forecast exercises for stock returns are unlikely to produce any evidence of predictability, even when there is in fact predictability and the correct model is estimated