Analyzing Investments Whose Histories Differ in Length

Robert Stambaugh

No 5918, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: This study explores multivariate methods for investment analysis based on a sample of return histories that differ in length across assets. The longer histories provide greater information about moments of returns, not only for the longer-history assets, but for the shorter-history assets as well. To account for the remaining parameter uncertainty, or estimation risk,' portfolio opportunities are characterized by a Bayesian predictive distribution. Examples involving emerging markets demonstrate the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates.

JEL-codes: G11 G15 (search for similar items in EconPapers)
Date: 1997-02
Note: AP
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Citations: View citations in EconPapers (77)

Published as Journal of Financial Economics, Vol. 45 (1997): 285-331.

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Journal Article: Analyzing investments whose histories differ in length (1997)
Working Paper: Analyzing Investments Whose Histories Differ in Length
Working Paper: Analyzing Investments Whose Histories Differ in Length
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