Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

By Amit Goyal, Narasimhan Jegadeesh. 2018

117 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/60cfe33c579c241cb6789195271480d6a9eb87c2

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Dashan Huang
2. Guofu Zhou
3. Jiangyuan Li
4. Liyao Wang
5. Peter A. Forsyth

Citations in the corpus

• Time series momentum: Is it there? (2020, methodology): “investment constraint as in Goyal and Jegadeesh (2018). The results are similar, and the alpha differential between the TSM and TSH strategies is always indifferent from zero.”