Predictability of equity models
Autor(a) principal: | |
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Data de Publicação: | 2009 |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional do FGV (FGV Repositório Digital) |
Texto Completo: | http://hdl.handle.net/10438/2189 |
Resumo: | In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the 'stepwise regression' model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs. |
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Pereira, Pedro L. VallsEscolas::EESP2009-01-27T14:23:48Z2009-01-27T14:23:48Z2009-01-27http://hdl.handle.net/10438/2189In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the 'stepwise regression' model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs.engTextos para discussão - EESP ; 176PredictabilityVariance ratio profileMonte Carlo simulationReality checkMercado de opções - Modelos matemáticosMétodo de Monte CarloEconomiaEconomiaPredictability of equity modelsinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articlereponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVinfo:eu-repo/semantics/openAccessORIGINALTD 176 Pedro Valls.pdfTD 176 Pedro Valls.pdfapplication/pdf328644https://repositorio.fgv.br/bitstreams/ec018bc8-01b5-4a1d-aa2c-f2764f56c4b3/downloadaca1890e4ae27758a54714761fc29d3cMD51LICENSElicense.txtlicense.txttext/plain; charset=utf-81838https://repositorio.fgv.br/bitstreams/bb16b35f-1ab7-4829-8f9a-2a0cb0eb6264/downloaddb20ace38857b5e717f385d9451946a5MD52TEXTTD 176 Pedro Valls.pdf.txtTD 176 Pedro 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dc.title.eng.fl_str_mv |
Predictability of equity models |
title |
Predictability of equity models |
spellingShingle |
Predictability of equity models Pereira, Pedro L. Valls Predictability Variance ratio profile Monte Carlo simulation Reality check Mercado de opções - Modelos matemáticos Método de Monte Carlo Economia Economia |
title_short |
Predictability of equity models |
title_full |
Predictability of equity models |
title_fullStr |
Predictability of equity models |
title_full_unstemmed |
Predictability of equity models |
title_sort |
Predictability of equity models |
author |
Pereira, Pedro L. Valls |
author_facet |
Pereira, Pedro L. Valls |
author_role |
author |
dc.contributor.unidadefgv.por.fl_str_mv |
Escolas::EESP |
dc.contributor.author.fl_str_mv |
Pereira, Pedro L. Valls |
dc.subject.eng.fl_str_mv |
Predictability Variance ratio profile Monte Carlo simulation Reality check |
topic |
Predictability Variance ratio profile Monte Carlo simulation Reality check Mercado de opções - Modelos matemáticos Método de Monte Carlo Economia Economia |
dc.subject.por.fl_str_mv |
Mercado de opções - Modelos matemáticos Método de Monte Carlo |
dc.subject.area.por.fl_str_mv |
Economia |
dc.subject.bibliodata.por.fl_str_mv |
Economia |
description |
In this study, we verify the existence of predictability in the Brazilian equity market. Unlike other studies in the same sense, which evaluate original series for each stock, we evaluate synthetic series created on the basis of linear models of stocks. Following Burgess (1999), we use the 'stepwise regression' model for the formation of models of each stock. We then use the variance ratio profile together with a Monte Carlo simulation for the selection of models with potential predictability. Unlike Burgess (1999), we carry out White’s Reality Check (2000) in order to verify the existence of positive returns for the period outside the sample. We use the strategies proposed by Sullivan, Timmermann & White (1999) and Hsu & Kuan (2005) amounting to 26,410 simulated strategies. Finally, using the bootstrap methodology, with 1,000 simulations, we find strong evidence of predictability in the models, including transaction costs. |
publishDate |
2009 |
dc.date.accessioned.fl_str_mv |
2009-01-27T14:23:48Z |
dc.date.available.fl_str_mv |
2009-01-27T14:23:48Z |
dc.date.issued.fl_str_mv |
2009-01-27 |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
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http://hdl.handle.net/10438/2189 |
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http://hdl.handle.net/10438/2189 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Textos para discussão - EESP ; 176 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
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reponame:Repositório Institucional do FGV (FGV Repositório Digital) instname:Fundação Getulio Vargas (FGV) instacron:FGV |
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