Goyal and Welch (2008)

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Dalamar
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Goyal and Welch (2008)

Mensajepor Dalamar » 01 Oct 2016 14:31

Vamos a ver la siguiente publicacion que parece ademas de interesante facil de replicar:

A Comprehensive Look at The Empirical - Performance of Equity Premium Prediction

La web de Amit Goyal que no tiene desperdicio: http://www.hec.unil.ch/agoyal/

“A simulation from June 8th 2001 through May 4th 2015 shows that taking daily positions in the SPDR S&P 500 ETF Trust (SPY) proportional to the estimated expected risk premium results in an annual return of over 12% with a Sharpe ratio of 0.85. The annual return is more than twice that of the buy-and-hold strategy, with a Sharpe ratio four times as high in the same period.”
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PredictorData2015.rar
(464.27 KiB) Descargado 20 veces
Predictability_RFS.pdf
(1.04 MiB) Descargado 22 veces
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