The present chapter will provide an overview of the relevant literature on factormimicking portfolios and return predictability. However, the literature, especially on the forecastability of returns, is extensive and therefore, the research mentioned can represent no more than a selection. In order to provide a more comprehensive picture of return predictability I do not restrict the literature review to serial correlation.


Dividend Yield Credit Spread Earning Surprise Weekend Effect Momentum Strategy 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.


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Copyright information

© Gabler | GWV Fachverlage GmbH 2010

Authors and Affiliations

  • Patrick Scheurle

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