Maximizing Predictability in the Stock and Bond Markets (Classic Reprint)
Author: Andrew Wen-Chuan Lo
Publisher: Forgotten Books
Published: 2016-09-30
Total Pages: 62
ISBN-13: 9781333798642
DOWNLOAD EBOOKExcerpt from Maximizing Predictability in the Stock and Bond Markets The search for predictability in asset returns has occupied the attention of investors and academics since the advent of organized financial markets. While investors have an obvious financial interest in predictability, its economic importance can be traced to at least three distinct sources: implications for how aggregate uctuations in the economy are transmitted to and from financial markets, implications for optimal consumption and investment policies, and implications for market efficiency. For example, several recent papers claim that the ap parent predictability in long-horizon stock return indexes is due to business cycle movements and changes in aggregate risk premia.1 Others claim that such predictability is symptomatic of inefficient markets, markets populated with overreacting and irrational investors.2 And following both explanations is a growing number of proponents of market timing or tac tical asset allocation, in which predictability is exploited, ostensibly to improve investors' risk-return trade-offs.3 Indeed, Roll (1988) has suggested that The maturity of a science is often gauged by its success in predicting important phenomena. About the Publisher Forgotten Books publishes hundreds of thousands of rare and classic books. Find more at www.forgottenbooks.com This book is a reproduction of an important historical work. Forgotten Books uses state-of-the-art technology to digitally reconstruct the work, preserving the original format whilst repairing imperfections present in the aged copy. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in our edition. We do, however, repair the vast majority of imperfections successfully; any imperfections that remain are intentionally left to preserve the state of such historical works."
