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ArticleSources of Predictability in Portfolio Returns

Wayne E. Ferson1991

Article1991

Sources of Predictability in Portfolio Returns

Wayne E. Ferson · Campbell R. Harvey

117 citations·0/0 files stored·Financial Analysts Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Financial Risk and Volatility Modeling

Abstract

(1991). Sources of Predictability in Portfolio Returns. Financial Analysts Journal: Vol. 47, No. 3, pp. 49-56.

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1988On the Contrarian Investment Strategy 1990Expectations and Volatility of Consumption and Asset Returns 1988An Unconditional Asset-Pricing Test and the Role of Firm Size as an Instrumental Variable for Risk

Cited by

2006Comparison of support-vector machines and back propagation neural networks in forecasting the six major Asian stock markets 2004Testing for predictability in emerging equity markets 1997MAXIMIZING PREDICTABILITY IN THE STOCK AND BOND MARKETS 2003Predictability in Hedge Fund Returns (corrected)1992The form of time variation of systematic risk: some Australian evidence 1993The Arbitrage Pricing Theory and Multifactor Models of Asset Returns 2011Theory and practice of corporate finance: Evidence and distinctive features in Latin America 2004Predictability in Hedge Fund Returns

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Details

Year1991

Typearticle

Published1991-05-01

VenueFinancial Analysts Journal

ISSN-L0015-198X

Languageen

Citations117

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

Identifiers

doi10.2469/faj.v47.n3.49

openalex_workW2160680204

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