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    This article has been cited by the following publications. This list is generated based on data provided by CrossRef.

    Massacci, Daniele 2015. Predicting the Distribution of Stock Returns: Model Formulation, Statistical Evaluation, VaR Analysis and Economic Significance. Journal of Forecasting, Vol. 34, Issue. 3, p. 191.


    O’Doherty, Michael S. Savin, N. E. and Tiwari, Ashish 2015. Evaluating Hedge Funds with Pooled Benchmarks. Management Science, p. 150213101304003.


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  • Journal of Financial and Quantitative Analysis, Volume 47, Issue 6
  • December 2012, pp. 1331-1360

Modeling the Cross Section of Stock Returns: A Model Pooling Approach

  • Michael O’Doherty (a1), N. E. Savin (a2) and Ashish Tiwari (a2)
  • DOI: http://dx.doi.org/10.1017/S0022109012000518
  • Published online: 04 October 2012
Abstract
Abstract

Model selection (i.e., the choice of an asset pricing model to the exclusion of competing models) is an inherently misguided strategy when the true model is unavailable to the researcher. This paper illustrates the advantages of a model pooling approach in characterizing the cross section of stock returns. The optimal pool combines models using the log predictive score criterion, a measure of the out-of-sample performance of each model, and consistently outperforms the best individual model. The benefits to model pooling are most pronounced during periods of economic stress, and it is a valuable tool for asset allocation decisions.

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