9781333798642 - Maximizing Predictability in the Stock and Bond Markets (Classic Reprint) de Wen-Chuan Lo, Andrew (3 resultados)

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

PAP. Condición: New. New Book. Shipped from UK. Established seller since 2000.

Paperback. Condición: New. Print on Demand. This book investigates the elusive concept of predictability in stock and bond markets, a challenge that investors and academics alike have been attempting to unravel for decades. The author, a leading expert in the field, tackles this enduring problem by constructing portfolios of stocks and bonds that are maximally predictable, opening up new avenues to understanding the nature of market risk and return. The author argues that instead of searching for predictability in factors which are important contemporaneously, a better approach is to maximize predictability across portfolios, holding fixed the set of regressors used to forecast asset returns. This seemingly simple shift in perspective leads to novel and often surprising discoveries about the predictability of asset returns. The book not only enhances our knowledge of time-varying expected returns and optimal consumption and investment policies but also contributes to ongoing debates about market efficiency. The author finds predictability can be increased considerably by portfolio selection and horizon selection, providing evidence that expected returns are time-varying and dependent on market conditions. This challenges the efficient market hypothesis, which posits that all available information is reflected in current prices, leaving no room for consistent excess returns. This book will be of great interest to anyone seeking a deeper understanding of financial markets and the factors driving asset prices - a must-read for investors, financial analysts, and academics alike. This book is a reproduction of an important historical work, digitally reconstructed using state-of-the-art technology to preserve the original format. In rare cases, an imperfection in the original, such as a blemish or missing page, may be replicated in the book. print-on-demand item.