Relevance
Czasonis, M., M. Kritzman and D. Turkington. 2022. "Relevance." Journal of Investment Management 20(1).
Posted: 17 Mar 2021 Last revised: 2 Jun 2022
Date Written: March 10, 2021
Abstract
The authors describe a new statistical concept called relevance from a conceptual and mathematical perspective, and based on their mathematical framework, they present a unified theory of relevance, regressions, and event studies. They also include numerical examples of how relevance is used to forecast.
Keywords: Informativeness, Mahalanobis Distance, Partial Sample Regression, Relevance, Similarity
JEL Classification: C10, C22, C24, C34
Suggested Citation: Suggested Citation
Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )
100 Main Street
E62-416
Cambridge, MA 02142
United States