Predicting Relative Returns
收藏NBER2017-10-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w23886
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资源简介：
Across a variety of asset classes, we show that relative returns are highly predictable in the time series in and out of sample, much more so than aggregate returns. For Treasuries, slope is more predictable than level. For equities, dominant principal components of anomaly long-short strategies are
提供机构：
美国国家经济研究局
创建时间：
2017-10-01
