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"The Calendar Structure of Risk and Expected Returns on Stocks and Bonds"(Journal of Financial Economics, October 2003)

The paper's main conclusions are:

Regrettably, Ogden's study suffers from multiple comparison on top of multiple comparison and is not worth the paper written on except as an example of how to data mine, and as a possible lead to a monthly study of the yield curve as a predictor. Naturally the regression formula presented in the paper is worse than random in practice when used past the original article of 1998. -- Victor Niederhoffer


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