search query: @author Korajczyk, R. / total: 1
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| Author: | Ferson, W. Korajczyk, R. |
| Title: | Do arbitrage pricing models explain the predictability of stock returns? |
| Journal: | Journal of Business
1995 : JUL, VOL. 68:3, p. 309-350 |
| Index terms: | ARBITRAGE PRICING THEORY STOCK RETURNS MODELS |
| Language: | eng |
| Abstract: | This article studies predictability in US stock returns for multiple investment horizons. The authors measure to what extent predictability is driven by premiums for economywide risk factors, comparing two standard methods for factor selection. The authors study single-beta models and multiple-beta models. They show how to estimate the fraction of the predictability in returns captured by the model, simultaneously with the other parameters. Their analysis indicates that the models capture a large fraction of the predictability for all of the investment horizons. |
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