Why does return predictability concentrate in bad times?
Year of publication: |
2017
|
---|---|
Authors: | Cujean, Julien ; Hasler, Michael |
Published in: |
The journal of finance : the journal of the American Finance Association. - Hoboken, NJ [u.a.] : Wiley, ISSN 0022-1082, ZDB-ID 218191-5. - Vol. 72.2017, 6, p. 2717-2758
|
Subject: | Equilibrium Asset Pricing | Learning | Disagreement | Business Cycle | Predictability | Times Series Momentum | Momentum Crashes | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Konjunktur | Business cycle | Zeitreihenanalyse | Time series analysis | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Schätzung | Estimation | CAPM | Volatilität | Volatility | Theorie | Theory |
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