Is the Value Premium Predictable in Real Time?
“Model selection is based on three well-known selection criteria: hit ratio (% correct sign), the mean return of the strategy and the realized information ratio.”
AssetEquities
StrategyValue investing
GeographyUS
ClaimInformation ratio
Also stated: out-of-sample test
Missing from abstract: benchmark, costs, multiple testing, universe
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FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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