Bibliographic record
Abstract
This research is aimed at testing the robustness of the positive correlation between average stock risk and stock market returns documented by Goyal and Santa-Clara (2003). This is addressed by investigating this relationship in the Canadian market by using an improved market timing methodology. We examine both the statistical and financial properties of average stock risk, as measured for equal- and value-weighted portfolios using a daily sample of all TSE-listed Canadian firms between January 1975 and December 2001. In order to further test the robustness of the relationship, we examine two sub-samples, January 1980 to December 1989 and January 1990 to December 1999. We find that the positive trend in average stock risk previously noted by Campbell et al (2001) and by Goyal and Santa-Clara (2003) is only present over our entire time period and not over each of the sub-periods. This questions the generality of the result for the entire period. Further, our findings do not support the positive correlation between average stock risk and stock market return. Our analysis shows only a weak statistical link and practically no financial timing ability when this time-series is used in an active market timing investment strategy. When macro-economic variables are introduced into our forecasting models, the in-sample statistical properties of the risk-return relationship increases significantly at the expense of the out-of-sample forecasting accuracy.
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How this classification was reachedexpand
Full frame distilled prediction
Teacher imitationNot calibrated prevalence, not ground truth. Human validation pending. Learned from the 10,348 direct Codex labels and 10,348 direct Gemma labels. Candidate is the union of thresholded teacher heads; consensus is their intersection. These outputs are machine_predicted_unvalidated and are not human labels or direct frontier model labels.
Codex and Gemma teacher scores by category
| Category | Codex | Gemma |
|---|---|---|
| Metaresearch | 0.000 | 0.001 |
| Meta-epidemiology (narrow) | 0.000 | 0.000 |
| Meta-epidemiology (broad) | 0.000 | 0.000 |
| Bibliometrics | 0.000 | 0.000 |
| Science and technology studies | 0.001 | 0.000 |
| Scholarly communication | 0.000 | 0.000 |
| Open science | 0.000 | 0.000 |
| Research integrity | 0.000 | 0.000 |
| Insufficient payload (model declined to judge) | 0.001 | 0.000 |
Machine scores (provisional)
The two teacher heads of the student model, read on this work. A score orders the frame for review; it never asserts a category, and the validation status ships verbatim with every row.
Baseline scores from an immature model (maturity gate not passed, 7 training rounds). Scores rank; they never assert a category.
score_only:v0-immature-baseline · verbatim from the scoring run: score_only means the number may rank works, and no category label ships from itClassification
machine, unvalidatedMachine predicted; a candidate call from one teacher head, not a consensus.
How this classification was reached, model by model and score by score, is at the end of the page under "How this classification was reached".