TY  - JOUR
AU  - Stambaugh,Robert F.
TI  - Analyzing Investments Whose Histories Differ in Length
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 5918
PY  - 1997
Y2  - February 1997
UR  - http://www.nber.org/papers/w5918
L1  - http://www.nber.org/papers/w5918.pdf
N1  - Author contact info:
Robert F. Stambaugh
Finance Department
The Wharton School
University of Pennsylvania
Philadelphia, PA   19104-6367
Tel: 215/898-5734
Fax: 215/898-6200
E-Mail: stambaugh@wharton.upenn.edu
AB  - This study explores multivariate methods for investment analysis based on a sample of return histories that differ in length across assets.  The longer histories provide greater information about moments of returns, not only for the longer-history assets, but for the shorter-history assets as well.  To account for the remaining parameter uncertainty, or  estimation risk,' portfolio opportunities are characterized by a Bayesian predictive distribution.  Examples involving emerging markets demonstrate the value of using the combined sample of histories and accounting for estimation risk, as compared to truncating the sample to produce equal-length histories or ignoring estimation risk by using maximum-likelihood estimates.
ER  -