What Is the Maximum Predictability Permitted by Asset Pricing Models?
This paper investigates whether return predictability can be explained by existing asset pricing models. Using different assumptions, I develop two theoretical upper bounds on the R-square of the regression of stock returns on predictive variables. Empirically, I find that the predictive R-square is...
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Format: | text |
Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/3776 https://ink.library.smu.edu.sg/context/lkcsb_research/article/4775/viewcontent/S2C1_Huang.pdf |
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Institution: | Singapore Management University |
Language: | English |