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Mar 17

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Posted by abiao at 10:21 | Default | Comments(31) | Reads(2006)

An interesting paper: DeMiguel, Victor and Nogales, Francisco J. and Uppal , Raman, Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, forthcoming in Review of Financial Studies.

Quotation
We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expected returns regardless of the sign of asset return cross-covariances and autocovariances. Empirically, we show, however, that both the arbitrage and mean-variance portfolios based on the VAR model outperform the traditional unconditional portfolios only for transaction costs below ten basis points.


http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1572526


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