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THE ECONOMIC SIGNIFICANCE OF CONDITIONING INFORMATION ON PORTFOLIO EFFICIENCY IN THE PRESENCE OF COSTLY SHORT‐SELLING
Authors:Nicholas Taylor
Institution:Cardiff University
Abstract:The economic significance of conditioning information in the presence of costly short‐selling is investigated. Using a compact testing framework, results demonstrate that fixed‐weight stock‐bond portfolios appear inefficient with respect to stock‐bond portfolios with weights determined by extant predictors. However, this result is highly dependent on ex ante knowledge of the predictor set and the ability to short‐sell at low cost. In the absence of such conditions, fixed‐weight stock‐bond portfolios appear efficient with respect to conditioning information.
Keywords:G11  G17
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