Why does return predictability concentrate in bad times?
Julien Cujean and Michael Hasler
| Year of publication: |
2017
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|---|---|
| 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
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| Subject: | Equilibrium Asset Pricing | Learning | Disagreement | Business Cycle | Predictability | Times Series Momentum | Momentum Crashes | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Zeitreihenanalyse | Time series analysis | Konjunktur | Business cycle | Schätzung | Estimation | Portfolio-Management | Portfolio selection | CAPM | Börsenkurs | Share price | Volatilität | Volatility | Theorie | Theory | Momentenmethode | Method of moments |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1111/jofi.12544 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012160151