The “out-of-sample” performance of long run risk models

Wayne Ferson, Suresh Nallareddy and Biqin Xie

Journal of Financial Economics, 2013, vol. 107, issue 3, 537-556

Abstract: This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931–2009. The long-run risk models perform relatively well on the momentum effect.

Keywords: Long-run risk models; Out-of-sample (search for similar items in EconPapers)
JEL-codes: E44 G12 (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (23)

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Related works:
Working Paper: The "Out of Sample" Performance of Long-run Risk Models (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:107:y:2013:i:3:p:537-556

DOI: 10.1016/j.jfineco.2012.09.006

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