Cong et al., 2024 - Google Patents
Mosaics of predictabilityCong et al., 2024
View PDF- Document ID
- 13177097401361922408
- Author
- Cong L
- Feng G
- He J
- Wang Y
- Publication year
- Publication venue
- Available at SSRN
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Snippet
Existing studies often regard return predictability as an attribute of predictors or models. This paper argues that return predictability is an unobserved yet inherent asset characteristic linked to expected returns, varying across stocks and over time. We propose a novel tree …
- 238000000034 method 0 abstract description 36
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