Return Predictability in Santiago Stock Exchange: An Empirical Analysis Using Portfolio Method
“Our results show that the set of large stocks in the exchange is the least predictable set of stocks, however, momentum is efficiently predicted their return.”
AssetEquities
StrategyValue investingmomentum
Claimt-statistic
InputsFundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
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