Is time-series-based predictability evident in real time?

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dc.contributorVirginia Techen
dc.contributor.authorCooper, Michaelen
dc.contributor.authorGulen, Huseyinen
dc.date.accessed2014-06-26en
dc.date.accessioned2014-06-27T14:45:38Zen
dc.date.available2014-06-27T14:45:38Zen
dc.date.issued2006-05en
dc.description.abstractWe show that out-of-sample tests used in the timeseries predictability literature may suffer from test size problems related to the common practice of exogenous specification of critical parameters, such as the choice of predictive variables, traded assets, and in-sample estimation periods. We perform specification searches across these parameters and find that rejections of the null hypothesis of no predictability are very sensitive to minor variations in parameter specification. We perform simulations to determine if the observed predictability in the data is real. The simulations suggest that much of the literature's out-of-sample evidence of time-series-based predictability is consistent with data snooping.en
dc.format.mimetypeapplication/pdfen
dc.identifier.citationMichael Cooper and Huseyin Gulen. "Is Time_Series_Based Predictability Evident in Real Time?," The Journal of Business, Vol. 79, No. 3 (May 2006), pp. 1263-1292. DOI: 10.1086/500676en
dc.identifier.doihttps://doi.org/10.1086/500676en
dc.identifier.issn0021-9398en
dc.identifier.urihttp://hdl.handle.net/10919/49134en
dc.identifier.urlhttp://www.jstor.org/stable/10.1086/500676en
dc.language.isoenen
dc.publisherUniversity of Chicago Pressen
dc.rightsIn Copyrighten
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/en
dc.subjectexpected stock returnsen
dc.subjectarbitrage pricing theoryen
dc.subjectmutual funden
dc.subjectPerformanceen
dc.subjectbook-to-marketen
dc.subjectPerformance--Investmenten
dc.subjecteconomic-significanceen
dc.subjectdividend yieldsen
dc.subjectselectionen
dc.subjectmodelsen
dc.subjectrisken
dc.subjectbusinessen
dc.titleIs time-series-based predictability evident in real time?en
dc.title.serialJournal of Businessen
dc.typeArticle - Refereeden
dc.type.dcmitypeTexten

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