Browsing Department of Accounting and Finance by Subject "Partial least squares"

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Empirical Studies on Stock Return Predictability and International Risk Exposure

Lu, Qinye (Working Paper)

Empirical evidence on the predictability of aggregate stock returns has shown that many commonly used predictor variables have little power to predict the market out-of-sample. However, a recent paper by Kelly and Pruitt ...
Predictability of Stock Returns based on the Partial Least Squares Methodology

Lu, Qinye; Taylor, Alex (Working Paper)

Empirical evidence on the predictability of aggregate stock returns has shown that many commonly used predictor variables have little power to predict the market out-of-sample. However, a recent paper by Kelly and Pruitt ...