07 fevereiro 2016

Pesquisa acadêmica destrói a previsibilidade dos retornos?


We study the out-of-sample and post-publication return-predictability of 97 variables that academic studies show to predict cross-sectional stock returns. Portfolio returns are 26% lower out-of-sample and 58% lower post-publication. The out-of-sample decline is an upper bound estimate of data mining effects. We estimate a 32% (58% - 26%) lower return from publication-informed trading. Post-publication declines are greater for predictors with higher in-sample returns, and returns are higher for portfolios concentrated in stocks with high idiosyncratic risk and low liquidity. Predictor portfolios exhibit post-publication increases in correlations with other published-predictor portfolios. Our findings suggest investors learn about mispricing from academic publications.

Fonte: Does Academic Research Destroy Stock Return Predictability? R. DAVID MCLEAN, JEFFREY PONTIFF. Jan 14, 2016
DOI: 10.1111/jofi.12365

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