Analyzing the Economic Value of Predictive Variable Trading Strategies
January 4, 2010 - Big Ideas
Do the methods and assumptions used in studies of the power of variables to predict differences in future returns across stocks accurately represent implementable trading strategies? In his December 2009 paper entitled “Economic and Statistical Properties of Implementable Trading Strategies”, Andrew Christie assesses the realism of widely used portfolio-level tests for anomalous cross-sectional stock returns. Using analysis and (as an example) the results from some past portfolio studies on the predictive power of standardized unexpected earnings, he concludes that: Keep Reading