Assessing the economic significance of return predictability: a research note
Article Abstract:
Research on investor portfolio management indicates that return predictability is capable of inducing optimal allocation horizon effects. Dividend yield was found to be the most significant predictor, but the relative bill rate and term spread also affected optimal allocations.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2003
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Nonlinear Predictability of Value and Growth Stocks and Economic Activity
Article Abstract:
The article examines growth and value portfolios created by book-to-market ratio, using non-parametric techniques to assess predictability. A smooth-transition threshold model is developed.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2004
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Seasonality in fund performance: an examination of the portfolio holdings and trades of investment managers
Article Abstract:
Analysis of seasonal trends of returns on managed funds, based on corporate announcements and tax-loss selling by investment managers, is presented.
Publication Name: Journal of Business Finance and Accounting
Subject: Business
ISSN: 0306-686X
Year: 2006
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