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1. 1. Factor return predictability: A comparison of multivariate forecasts of the Size, Value, Momentum, and Low Volatility premia

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Francesco Chincoli; [2015]
   Keywords : Risk Premium; Factor Return Predictability; Forecast Accuracy; Regime Switching;

   Abstract : This paper studies the predictive performance of multivariate models in forecasting joint returns of portfolios tracking the Size, Value, Momentum, and Low Volatility premia. We run recursive out-of-sample forecasting experiments on a number of linear and regime switching models, and compare the accuracy of their point predictions in a qualitative and quantitative fashion. READ MORE