RePEcML & AI Methods
Explaining Realized Returns: Roll’s R2 40 Years Later
Wall Street Journal market summaries explain 30-40% of daily and monthly returns out of sample when filtered for stated reasons, compared to under 10% for macro variables.
Featured in No. 138 on 6 Nov 2026 · 1 day after release
- Released
- 5 Nov 2026
- First featured
- No. 138 · 6 Nov 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 4 of 5
- Identifier
- RePEc:nbr:nberwo:35885
- Authors
- Bryan T. Kelly et al.
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).