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

https://doi.org/10.1093/rfs/hhu002
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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A model of investor sentiment1We are grateful to the NSF for financial support, and to Oliver Blanchard, Alon Brav, John Campbell (a referee), John Cochrane, Edward Glaeser, J.B. Heaton, Danny Kahneman, David Laibson, Owen Lamont, Drazen Prelec, Jay Ritter (a referee), Ken Singleton, Dick Thaler,…
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On the Choice of Covariance Specifications for Portfolio Selection Problems
inferred← citeshttps://doi.org/10.2139/ssrn.2886369openalex-snapshot
Persistence in Generating Returns by the European Union Companies
inferred← citeshttps://doi.org/10.2139/ssrn.2889279openalex-snapshot
Asset Allocation Strategies, the 1/N Rule, and Data Snooping
inferred← citeshttps://doi.org/10.2139/ssrn.2964490openalex-snapshot
Multiple Regression Model Averaging and the Focused Information Criterion with an Application to Portfolio Choice
inferred← citeshttps://doi.org/10.2139/ssrn.2971875openalex-snapshot
Time Series Reversal of Financial Assets
inferred← citeshttps://doi.org/10.2139/ssrn.3001878openalex-snapshot
Risk Parity in the Brazilian Market
inferred← citeshttps://doi.org/10.2139/ssrn.3106447openalex-snapshot
Time-Varying Economic Dominance Through Bistable Dynamics
inferred← citeshttps://doi.org/10.2139/ssrn.3118475openalex-snapshot
Large VARX Model With Network Regularization
inferred← citeshttps://doi.org/10.2139/ssrn.3179569openalex-snapshot
Cost-Effective Dynamic Portfolio Construction with Market-Sensitive Sparsity
inferred← citeshttps://doi.org/10.2139/ssrn.3188878openalex-snapshot
Algorithmic Trading in Limit Order Books for Online Portfolio Selection
inferred← citeshttps://doi.org/10.2139/ssrn.3225610openalex-snapshot
Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment
inferred← citeshttps://doi.org/10.2139/ssrn.3263420openalex-snapshot
Regularising the Factor Zoo with OWL
inferred← citeshttps://doi.org/10.2139/ssrn.3291868openalex-snapshot
Positional Momentum and Liquidity Management; A Bivariate Rank ApproachTitle
inferred← citeshttps://doi.org/10.2139/ssrn.3305628openalex-snapshot
A DCC-Type Approach for Realized Covariance Modelling With Score-Driven Dynamics
inferred← citeshttps://doi.org/10.2139/ssrn.3496804openalex-snapshot
A Generalized Heterogeneous Autoregressive Model using the Market Index
inferred← citeshttps://doi.org/10.2139/ssrn.3536015openalex-snapshot
Why Commonality Persists?
inferred← citeshttps://doi.org/10.2139/ssrn.3551224openalex-snapshot
Shrinking Against Sentiment: Exploiting Behavioral Biases in Portfolio Optimization
inferred← citeshttps://doi.org/10.2139/ssrn.3615666openalex-snapshot
Portfolio Pretesting with Machine Learning
inferred← citeshttps://doi.org/10.2139/ssrn.3779127openalex-snapshot
Global Realignment in Financial Market Dynamics: Evidence from ETF Networks
inferred← citeshttps://doi.org/10.2139/ssrn.3906157openalex-snapshot
Changing Expected Returns Can Induce Spurious Components in Autocorrelations
inferred← citeshttps://doi.org/10.2139/ssrn.3963379openalex-snapshot
Changing Expected Returns Can Induce Spurious Serial Correlation
inferred← citeshttps://doi.org/10.2139/ssrn.3991393openalex-snapshot
Leveraging Latent Factors Using the Equally Weighted Portfolio
inferred← citeshttps://doi.org/10.2139/ssrn.4011298openalex-snapshot
Direct Portfolio Weight Estimator: Mitigating Specification Risk with Realized Utility
inferred← citeshttps://doi.org/10.2139/ssrn.4714463openalex-snapshot
An Averaging Framework for Minimum-Variance Portfolios: Optimal Rules for Combining Portfolio Weights
inferred← citeshttps://doi.org/10.2139/ssrn.5119147openalex-snapshot
Legislator Tweets About the Green Transition and the Returns of Green versus Brown Stocks
inferred← citeshttps://doi.org/10.2139/ssrn.5130565openalex-snapshot
Robust Data-Driven CARA Optimization
inferred← citeshttps://doi.org/10.2139/ssrn.5634681openalex-snapshot
Economic Linkages Inferred from News Stories and the Predictability of Stock Returns
inferred← citeshttps://doi.org/10.2139/ssrn.5801843openalex-snapshot
Incorporating Return Prediction in High-Dimensional Mean-Variance Portfolio Optimization
inferred← citeshttps://doi.org/10.26481/dis.20160513rqopenalex-snapshot
Risk and uncertainty
inferred← citeshttps://doi.org/10.3386/w23933openalex-snapshot
Sparse Signals in the Cross-Section of Returns
inferred← citeshttps://doi.org/10.3390/jrfm12010045openalex-snapshot
News Co-Occurrences, Stock Return Correlations, and Portfolio Construction Implications
inferred← citeshttps://doi.org/10.3390/risks8010026openalex-snapshot
The Leaders, the Laggers, and the “Vulnerables”
inferred← citeshttps://doi.org/10.3905/jai.2019.1.076openalex-snapshot
The Long and Short of Trend Followers
inferred← citeshttps://doi.org/10.3905/jpm.2020.1.185openalex-snapshot
Optimal Beats Naive Diversification: Asset Allocation Using High-Frequency Data
inferred← citeshttps://doi.org/10.6035/14102.2018.5openalex-snapshot
Analysis of high-frequency data on information transmissio and optimal portfolio choice
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