Weiwei Liu

Tsinghua University - PBC School of Finance (PBCSF)

PH.D candidate

Beijing, Haidian Distreet, Chengfu Road NO.43

Beijing, 100083

China

  • Tsinghua University - PBC School of Finance (PBCSF)

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Predicting Returns Out of Sample: A Naïve Model Averaging Approach

Number of pages: 101 Posted: 27 Sep 2019 Last Revised: 17 Oct 2022
Huafeng (Jason) Chen, Liang Jiang and Weiwei Liu
Fudan University - Fanhai International School of Finance (FISF), Fudan University - Fanhai International School of Finance (FISF) and Tsinghua University - PBC School of Finance (PBCSF)
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Abstract:

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out of sample tests, naïve model averaging, market returns, ridge regression