search query: @freeterm LONG HORIZONS / total: 1
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Author: | Campbell, J. Y. |
Title: | Why long horizons? A study of power against persistent alternatives |
Journal: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 459-491 |
Index terms: | POWER REGRESSION ANALYSIS |
Freeterms: | LONG HORIZONS |
Language: | eng |
Abstract: | This paper studies tests of predictability in regressions with a given AR(1) regressor and an asset return dependent variable measured over a short or long horizon. The paper shows that when there is a persistent predictable component in the return, an increase in the horizon may increase the R2 statistic of the regression and the approximate slope of a predictability test. |
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