search query: @indexterm POWER / total: 583
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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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