Advanced Search
MyIDEAS: Login to save this paper or follow this series

Performance Evaluation of Zero Net-Investment Strategies

Contents:

Author Info

  • Òscar Jordà
  • Alan M. Taylor

Abstract

This paper introduces new nonparametric statistical methods to evaluate zero-cost investment strategies. We focus on directional trading strategies, risk-adjusted returns, and the investor’s decisions under uncertainty as the core of our analysis. By relying on classification tools with a long tradition in the sciences and biostatistics, we can provide a tighter connection between model-based risk characteristics and the no-arbitrage conditions for market efficiency. Moreover, we extend the methods to multicategorical settings, such as when the investor can sometimes take a neutral position. A variety of inferential procedures are provided, many of which are illustrated with applications to excess equity returns and to currency carry trades.

Download Info

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
File URL: http://www.nber.org/papers/w17150.pdf
Download Restriction: no

Bibliographic Info

Paper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 17150.

as in new window
Length:
Date of creation: Jun 2011
Date of revision:
Handle: RePEc:nbr:nberwo:17150

Note: AP IFM TWP
Contact details of provider:
Postal: National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.
Phone: 617-868-3900
Email:
Web page: http://www.nber.org
More information through EDIRC

Related research

Keywords:

Find related papers by JEL classification:

This paper has been announced in the following NEP Reports:

References

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
as in new window
  1. Yin-Wong Cheung & Menzie D. Chinn & Antonio Garcia Pascual, 2002. "Empirical Exchange Rate Models of the Nineties: Are Any Fit to Survive?," NBER Working Papers 9393, National Bureau of Economic Research, Inc.
  2. Bai, Jushan, 1991. "Weak convergence of the sequential empirical processes of residuals in ARMA models," MPRA Paper 32915, University Library of Munich, Germany, revised 06 Jul 1993.
  3. Travis Berge & Òscar Jordà & Alan M. Taylor, 2010. "Currency Carry Trades," NBER Chapters, National Bureau of Economic Research, Inc, in: NBER International Seminar on Macroeconomics 2010, pages 357-387 National Bureau of Economic Research, Inc.
  4. Lutz Kilian & Mark P. Taylor, 2001. "Why is it so difficult to beat the Random Walk Forecast of Exchange Rates?," Tinbergen Institute Discussion Papers, Tinbergen Institute 01-031/4, Tinbergen Institute.
  5. Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
  6. Amit Goyal & Ivo Welch, 2002. "Predicting the Equity Premium With Dividend Ratios," NBER Working Papers 8788, National Bureau of Economic Research, Inc.
  7. Alexius, Annika, 2001. "Uncovered Interest Parity Revisited," Review of International Economics, Wiley Blackwell, Wiley Blackwell, vol. 9(3), pages 505-17, August.
  8. Jushan Bai, 2003. "Testing Parametric Conditional Distributions of Dynamic Models," The Review of Economics and Statistics, MIT Press, vol. 85(3), pages 531-549, August.
  9. Anatolyev, Stanislav & Gerko, Alexander, 2005. "A Trading Approach to Testing for Predictability," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 23, pages 455-461, October.
  10. Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(1), pages 101-141, July.
  11. Eiji Fujii & Menzie D. Chinn, 2000. "Fin de Siecle Real Interest Parity," NBER Working Papers 7880, National Bureau of Economic Research, Inc.
  12. Elliott, Graham & Lieli, Robert P., 2013. "Predicting binary outcomes," Journal of Econometrics, Elsevier, Elsevier, vol. 174(1), pages 15-26.
  13. Peter G. Hall & Rob J. Hyndman & Yanan Fan, 2003. "Non Parametric Confidence Intervals for Receiver Operating Characteristic Curves," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics 12/03, Monash University, Department of Econometrics and Business Statistics.
Full references (including those not matched with items on IDEAS)

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as in new window

Cited by:
  1. Jordà, Òscar & Taylor, Alan M., 2013. "The Time for Austerity: Estimating the Average Treatment Effect of Fiscal Policy," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9646, C.E.P.R. Discussion Papers.
  2. Jordà, Òscar, 2014. "Assessing the historical role of credit: Business cycles, financial crises and the legacy of Charles S. Peirce," International Journal of Forecasting, Elsevier, Elsevier, vol. 30(3), pages 729-740.
  3. Sarlin, Peter, 2013. "On policymakers’ loss functions and the evaluation of early warning systems," Economics Letters, Elsevier, Elsevier, vol. 119(1), pages 1-7.
  4. Dick, Christian D. & MacDonald, Ronald & Menkhoff, Lukas, 2011. "Individual exchange rate forecasts and expected fundamentals," ZEW Discussion Papers, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research 11-062, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
  5. Jordà, Òscar & Schularick, Moritz & Taylor, Alan M., 2013. "Sovereigns versus Banks: Credit, Crises, and Consequences," CEPR Discussion Papers, C.E.P.R. Discussion Papers 9678, C.E.P.R. Discussion Papers.
  6. Karolin Kirschenmann & Tuomas Malinen & Henri Nyberg, 2014. "The risk of financial crises: Is it in real or financial factors?," Working Papers, ECINEQ, Society for the Study of Economic Inequality 336, ECINEQ, Society for the Study of Economic Inequality.
  7. Jordà, Òscar & Taylor, Alan M., 2012. "The carry trade and fundamentals: Nothing to fear but FEER itself," Journal of International Economics, Elsevier, Elsevier, vol. 88(1), pages 74-90.
  8. Mathias Drehmann & Claudio Borio & Kostas Tsatsaronis, 2011. "Anchoring countercyclical capital buffers: the role of credit aggregates," BIS Working Papers 355, Bank for International Settlements.

Lists

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

Statistics

Access and download statistics

Corrections

When requesting a correction, please mention this item's handle: RePEc:nbr:nberwo:17150. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: ().

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.