| Título: | ECONOMIC SIGNIFICANCE OF PREDICTABLE RETURNS: THE CASE OF EMERGING ASIAN COUNTRIES |
| Autores: | Latifa, Fatnassi; Faculty of Economics and Management, Tunis |
| Fecha: | 2013-10-25 |
| Publicador: | Journal of Business and Finance |
| Fuente: |
 |
| Tipo: |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion |
| Tema: | Return Predictability, Maximum Predictability Portfolio, Market Timing, Transaction Costs |
| Descripción: | The aim of this paper is to investigate whether the predictability of stock returns is economically significant, i.e if it can be exploited in practice to earn abnormal returns using various measures of market-timing and investment performance presented by Lo and Mackinlay(1997). The estimated multifactorial model linking yields and macroeconomic variables and the weights of the sector portfolios have been determined and a maximum predictability portfolio (MPP) was constructed. Measuring the economic significance of predictability of returns was done by calculating threshold transaction costs compared to actual cost in providing practical evidence of the existence of investment strategies based on profitable and beneficial predictability market yields Korean and Singaporean. |
| Idioma: | Inglés |
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