Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Kevin J. Lansing (Federal Reserve Bank of San Francisco), Stephen F. LeRoy (University of California, Santa Barbara), Jun Ma (Northeastern University)
| Year of publication: |
December 3, 2018
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|---|---|
| Authors: | Lansing, Kevin J. ; LeRoy, Stephen F. ; Ma, Jun |
| Publisher: |
[San Francisco, CA] : Federal Reserve Bank of San Francisco |
| Subject: | Equity Premium | Excess Volatility | Return Predictability | Market Sentiment | Time Series Momentum | Investor Attention | Volatilität | Volatility | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Anlageverhalten | Behavioural finance | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Portfolio-Management | Portfolio selection | Effizienzmarkthypothese | Efficient market hypothesis | Stochastischer Prozess | Stochastic process | Börsenkurs | Share price |
freely available
| Extent: | 1 Online-Ressource (circa 49 Seiten) Illustrationen |
|---|---|
| Series: | Working papers series / Federal Reserve Bank of San Francisco. - San Francisco, Calif., ZDB-ID 2187821-3. - Vol. 2018, 14 (December 2018) |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | 10.24148/wp2018-14 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011977460