Abstract
The existence of predictable components in conditional expected returns has been widely reported. We propose a test of the economic significance of this phenomenon by designing dynamic international allocation strategies based on a conditioning information set. We compare the performance of these dynamic strategies with some market portfolio benchmark and with unconditionally efficient portfolios (among the set of primitive assets). We find the performance of the dynamic strategies to be superior. The difference is not only statistically significant, it is economically large.
| Original language | English |
|---|---|
| Pages (from-to) | 33-55 |
| Number of pages | 23 |
| Journal | Journal of Empirical Finance |
| Volume | 1 |
| Issue number | 1 |
| Publication status | Published - Jun 1993 |
| Externally published | Yes |