The Real Time Predictability of the Size and Value Premium in Japan

Keyphrases

• Japan 100%
• Transaction Costs 100%
• Value Premium 100%
• Time Predictability 100%
• Size Premium 100%
• Best Model 50%
• Training Period 50%
• Cost Level 50%
• Model Selection Criteria 50%
• Selection Criteria 50%
• Short-term Variation 50%
• Sampling Model 50%
• Dynamic Modeling Approach 50%
• Timing Strategies 50%
• Typical Data 50%
• Regressor 50%
• Rolling Window 50%
• Trading Period 50%
• Sample Training 50%
• Data-snooping Bias 50%
• Sample Estimation 50%

Economics, Econometrics and Finance

• Transaction Costs 100%
• Finance 50%
• Model Selection 50%