So What Do We Learn from Li and Wang (2025)?
We criticize ad-hoc tests of return predictability, like those presented by Li and Wang (2025), which are purely motivated by statistical associations. Without ex-ante hypotheses grounded in theory or evidence on portfolio choice, it is difficult to say what we learn from such correlation exercises. We then discuss how convincing progress can be made in uncovering the foundations of portfolio choice and asset pricing, drawing on our own experimental research for illustration.
Authors
- Martin Weber (ORCID: https://orcid.org/0000-0002-8266-9669)
- Michael Ungeheuer (ORCID: https://orcid.org/0000-0002-8921-6507)
Institutions
- University of Mannheim (DE)
- Aalto University (FI)
Publication Details
- Journal
- Critical Finance Review
- Published
- 2025-01-01
- DOI
- https://doi.org/10.1561/104.00000153
- Primary Topic
- Financial Markets and Investment Strategies
- Type
- article
- Field-Weighted Citation Impact
- 0.00