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| Tekijä: | Fletcher, J. Hillier, J. |
| Otsikko: | On the usefulness of linear factor models in predicting expected returns in mean-variance analysis |
| Lehti: | International Review of Financial Analysis
2002 : VOL. 11:4, p. 449-466 |
| Asiasana: | STATISTICS ANALYTICAL REVIEW FACTOR ANALYSIS MODELS |
| Kieli: | eng |
| Tiivistelmä: | This article examines whether using multifactor models to forecast expected returns leads to superior performance relative to a single-factor model m a domestic UK asset allocation framework. The evidence in the article suggests that when the investor faces no investment restrictions that using the conditional versions of the models tends to generate better performance compared to the unconditional versions of the models. Furthermore, the conditional version of the single-factor model tends to outperform the multifactor models. When the investor faces investment restrictions, the differences between the models become less substantive. |
SCIMA