Upper bounds on return predictability
Can the degree of predictability found in data be explained by existing asset pricing models? We provide two theoretical upper bounds on the R2 of predictive regressions. Using data on the market portfolio and component portfolios, we find that the empirical R2 are significantly greater than the the...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2017
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4569 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5568/viewcontent/UpperBounds.pdf |
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| Institution: | Singapore Management University |
| Language: | English |