Patrick Scheurle investigates refined market segments such as small value stocks or large growth stocks with respect to return predictability. The empirical research reveals significant positive first-order serial correlation in the returns of large value stocks, large neutral stocks, small neutral stocks, and small growth stocks.For example, an investor could re-estimate his model each month with the data of the last 60 months. ... The calibration of the forecasting models is the starting point of the investment process as the estimated parameters are used to forecast anbsp;...
|Title||:||Predictability of the Swiss Stock Market with Respect to Style|
|Publisher||:||Springer Science & Business Media - 2010-07-03|