Using Long-horizon Returns to Predict/Time the Stock Market
May 8, 2018 - Big Ideas, Fundamental Valuation
Is use of a sampling interval much shorter than input variable measurement interval a useful statistical practice in financial markets research? In the April 2018 update of their paper entitled “Long Horizon Predictability: A Cautionary Tale”, flagged by a subscriber, Jacob Boudoukh, Ronen Israel and Matthew Richardson examine statistical reliability gains from overlapping measurements of… Keep Reading