An asset allocation approach to measuring stock return predictability

Boudry, Walter. (2000). An asset allocation approach to measuring stock return predictability Honours Thesis, School of Business, University of Queensland.

       
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Author Boudry, Walter.
Thesis Title An asset allocation approach to measuring stock return predictability
School, Centre or Institute School of Business
Institution University of Queensland
Publication date 2000
Thesis type Honours Thesis
Total pages 92
Language eng
Subjects 1503 Business and Management
Formatted abstract This thesis investigates the economic significance of return predictability by examining the extent to which knowledge of three predictor variables effects a buy and hold investor's optimal asset allocation decision. In particular, it examines the effects of return predictability on the optimal portfolios of long-horizon buy and hold investors and the sensitivity of the investor's optimal portfolio to the last observed value of each predictor variable. This thesis finds that when the investor ignores estimation risk they allocate more to stocks at longer horizons, but when they incorporate the estimation risk surrounding the parameters, they allocate less heavily to stocks at longer investment horizons. Of the three predictor variables examined, the dividend yield, relative bill rate and term spread, the dividend yield had the greatest impact on the investor's optimal portfolio decision.

 
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Created: Wed, 27 Oct 2010, 12:44:19 EST by Muhammad Noman Ali on behalf of The University of Queensland Library