haku: @freeterm LONG HORIZONS / yhteensä: 1
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| Tekijä: | Campbell, J. Y. |
| Otsikko: | Why long horizons? A study of power against persistent alternatives |
| Lehti: | Journal of Empirical Finance
2001 : DEC, VOL. 8:5, p. 459-491 |
| Asiasana: | POWER REGRESSION ANALYSIS |
| Vapaa asiasana: | LONG HORIZONS |
| Kieli: | eng |
| Tiivistelmä: | 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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