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| Author: | Fluck, Z. Malkiel, B. Quandt, R. |
| Title: | The predictability of stock returns: a cross-sectional simulation |
| Journal: | Review of Economics and Statistics
1997 : MAY, VOL. 79:2, p. 176-183 |
| Index terms: | STATISTICS STOCK RETURNS SIMULATION |
| Language: | eng |
| Abstract: | This paper investigates whether predictable patterns that previous empirical works in finance have isolated appear to be persistent and exploitable by portfolio managers. On a sample that is free from survivorship bias the authors construct a test wherein they simulate the purchases and sales an investor would undertake to exploit the predictable patterns, charging the appropriate transaction costs for buying and selling and using only publicly available information at the time of decision making. |
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