August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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Elsevier UK CH10-H8321 jobcode: FEF 28-6-2007 5:50p.m. Page:221 Trimsize:165
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221 The information horizon
half-life), we hold stocks for nearly three times the half-life. This pays for higher turnover
relative to the half-life.
Secondly, we vary strategy aggression. We allow the model ‘score’ to vary between 0.4
(low aggression) and 1.8 (high aggression). The optimal holding period varies between
around 2 years for the lowest aggression strategy and 6 months for the high aggression
case. Notice that – ignoring for the moment the issue of deadweight ...
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