Can I read Series: Working Paper on EtoBox?

Series: Working Paper by michaelguan326 is a document available to read on EtoBox.

What is Series: Working Paper about?

This document discusses comparing two methods for combining stock return prediction models: Bayesian Model Averaging (BMA) and Aggregate Forecasting Through Exponential Reweighting (AFTER). It aims to provide an out-of-sample comparison of the two methods and examine the profitability of trading strategies based on each. The document also discusses implications for evidence on stock return predictability and the time-varying importance of predictor variables.

Author

michaelguan326

Language

EN