scholarly journals The Optimal Use of Return Predictability: An Empirical Study

2012 ◽  
Vol 47 (5) ◽  
pp. 973-1001 ◽  
Author(s):  
Abhay Abhyankar ◽  
Devraj Basu ◽  
Alexander Stremme
Keyword(s):  
Statistical Significance ◽  
Economic Value ◽  
Return Predictability ◽  
Credit Spread ◽  
Asset Return ◽  
Term Spread ◽  
Predictive Variables ◽  
Economic Interpretation ◽  
Wide Range ◽  
Out Of Sample

AbstractIn this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables. We assess the performance of dynamic, unconditionally efficient strategies, first studied by Hansen and Richard (1987) and Ferson and Siegel (2001), using a test that has both an intuitive economic interpretation and known statistical properties. We find that using the lagged term spread, credit spread, and inflation significantly improves the risk-return trade-off. Our strategies consistently outperform efficient buy-and-hold strategies, both in and out of sample, and they also incur lower transactions costs than traditional conditionally efficient strategies.

Do Commodities Add Economic Value in Asset Allocation? New Evidence from Time-Varying Moments

2018 ◽  
Vol 53 (1) ◽  
pp. 365-393 ◽  
Author(s):  
Xin Gao ◽  
Federico Nardari
Keyword(s):  
Asset Allocation ◽  
Economic Value ◽  
Short Selling ◽  
Investment Strategies ◽  
Time Varying ◽  
Moderate Risk ◽  
Asset Return ◽  
Out Of Sample ◽  
New Evidence ◽  
Mean Variance

We conduct a comprehensive out-of-sample assessment of the economic value adding of commodities in multiasset investment strategies that exploit the predictability of asset return moments. We find that predictability makes the inclusion of commodities profitable even when short selling and high leverage are not permitted. For instance, a mean-variance (non-mean-variance) investor with moderate risk aversion and leverage, rebalancing quarterly, would be willing to pay up to 108 (155) basis points per year after transaction cost for adding commodities to her stock, bond, and cash portfolio. Previous research had reached mixed or even opposite conclusions, especially in an out-of-sample context.

scholarly journals THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE

2014 ◽  
Vol 17 (06) ◽  
pp. 1450040 ◽  
Author(s):  
MATHIEU GATUMEL ◽  
FLORIAN IELPO
Keyword(s):  
Economic Value ◽  
Financial Industry ◽  
Asset Return ◽  
Portfolio Returns ◽  
Monte Carlo Experiments ◽  
Test Methodology ◽  
Bull Markets ◽  
Out Of Sample ◽  
High Volatility ◽  
Density Forecasts

A shared belief in the financial industry is that markets are driven by two types of regimes: bull markets, characterized by high returns and low volatility, and bear markets, characterized by low returns coupled with high volatility. Modeling the dynamics of different asset classes (stocks, bonds, commodities and currencies) with a Markov switching (MS) model and using a density-based test, we reject the hypothesis that two-regimes are enough to capture asset return evolutions for many of the investigated assets. Once the accuracy of our test methodology has been assessed through Monte Carlo experiments, our empirical results point out that between two and five regimes are required to capture the features of each asset's distribution. Moreover, we show that only a part of the underlying number of regimes is explained by the distributional characteristics of the returns such as kurtosis. A thorough out-of-sample analysis provides additional evidence that there are more than just bulls and bears in financial markets. Finally, we highlight that taking into account the real number of regimes allows both improved portfolio returns and density forecasts.

scholarly journals Bioprospecting of Sechium spp. varieties for the selection of characters with pharmacological activity

2021 ◽  
Vol 11 (1) ◽  
Author(s):  
María Isabel Iñiguez-Luna ◽  
Jorge Cadena-Iñiguez ◽  
Ramón Marcos Soto-Hernández ◽  
Francisco Javier Morales-Flores ◽  
Moisés Cortes-Cruz ◽  
...  
Keyword(s):  
Cell Lines ◽  
Proliferative Activity ◽  
Meta Analysis ◽  
Pearson Correlation ◽  
Statistical Significance ◽  
Economic Value ◽  
Principal Component ◽  
Malignant Cell ◽  
Length Polymorphisms ◽  
Relevant Variables

AbstractBioprospecting identifies new sources of compounds with actual or potential economic value that come from biodiversity. An analysis was performed regarding bioprospecting purposes in ten genotypes of Sechium spp., through a meta-analysis of 20 information sources considering different variables: five morphological, 19 biochemical, anti-proliferative activity of extracts on five malignant cell lines, and 188 polymorphic bands of amplified fragment length polymorphisms, were used in order to identify the most relevant variables for the design of genetic interbreeding. Significant relationships between morphological and biochemical characters and anti-proliferative activity in cell lines were obtained, with five principal components for principal component analysis (SAS/ETS); variables were identified with a statistical significance (< 0.7 and Pearson values ≥ 0.7), with 80.81% of the accumulation of genetic variation and 110 genetic bands. Thirty-nine (39) variables were recovered using NTSYSpc software where 30 showed a Pearson correlation (> 0.5) and nine variables (< 0.05), Finally, using a cladistics analysis approach highlighted 65 genetic bands, in addition to color of the fruit, presence of thorns, bitter flavor, piriform and oblong shape, and also content of chlorophylls a and b, presence of cucurbitacins, and the IC50 effect of chayote extracts on the four cell lines.

scholarly journals COVID-19 and Its Symptoms’ Panoply: A Case-Control Study of 919 Suspected Cases in Locked-Down Ovar, Portugal

2021 ◽  
pp. 1-8
Author(s):  
Regina Sá ◽  
Tiago Pinho-Bandeira ◽  
Guilherme Queiroz ◽  
Joana Matos ◽  
João Duarte Ferreira ◽  
...  
Keyword(s):  
Large Scale ◽  
Case Control Study ◽  
Statistical Significance ◽  
Case Control ◽  
Case Definition ◽  
Suspected Case ◽  
Risk Characteristics ◽  
Increased Risk ◽  
Wide Range ◽  
Control Study

<b><i>Background:</i></b> Ovar was the first Portuguese municipality to declare active community transmission of SARS-CoV-2, with total lockdown decreed on March 17, 2020. This context provided conditions for a large-scale testing strategy, allowing a referral system considering other symptoms besides the ones that were part of the case definition (fever, cough, and dyspnea). This study aims to identify other symptoms associated with COVID-19 since it may clarify the pre-test probability of the occurrence of the disease. <b><i>Methods:</i></b> This case-control study uses primary care registers between March 29 and May 10, 2020 in Ovar municipality. Pre-test clinical and exposure-risk characteristics, reported by physicians, were collected through a form, and linked with their laboratory result. <b><i>Results:</i></b> The study population included a total of 919 patients, of whom 226 (24.6%) were COVID-19 cases and 693 were negative for SARS-CoV-2. Only 27.1% of the patients reporting contact with a confirmed or suspected case tested positive. In the multivariate analysis, statistical significance was obtained for headaches (OR 0.558), odynophagia (OR 0.273), anosmia (OR 2.360), and other symptoms (OR 2.157). The interaction of anosmia and odynophagia appeared as possibly relevant with a borderline statistically significant OR of 3.375. <b><i>Conclusion:</i></b> COVID-19 has a wide range of symptoms. Of the myriad described, the present study highlights anosmia itself and calls for additional studies on the interaction between anosmia and odynophagia. Headaches and odynophagia by themselves are not associated with an increased risk for the disease. These findings may help clinicians in deciding when to test, especially when other diseases with similar symptoms are more prevalent, namely in winter.

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