Asset Pricing Restrictions on Predictability: Frictions Matter
Year of publication: |
2012
|
---|---|
Authors: | Roon, Frans de ; Szymanowska, Marta |
Published in: |
Management Science. - Institute for Operations Research and the Management Sciences - INFORMS, ISSN 0025-1909. - Vol. 58.2012, 10, p. 1916-1932
|
Publisher: |
Institute for Operations Research and the Management Sciences - INFORMS |
Subject: | time-series predictability | cross-sectional predictability | asset pricing tests | market frictions |
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