Predictability of equity models

AUTOR(ES)

Pereira, Pedro Luiz Valls

DATA DE PUBLICAÇÃO

27/01/2009

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.

ASSUNTO(S)

predictability variance ratio profile monte carlo simulation reality check mercado de opções - modelos matemáticos método de monte carlo

Documentos Relacionados

• Previsibilidade em modelos de ações
• Using Irregularly Spaced Returns to Estimate Multi-Factor Models: Application to Brazilian Equity Data
• Predictability of EEG interictal spikes.
• Predictability of Vibrio cholerae in Chesapeake Bay
• The predictability of research in chronic illness