Engsted, Tom; Pedersen, Thomas Q. - School of Economics and Management, University of Aarhus - 2009
- and long-horizon real returns are significantly predictable in both sub-periods (1871-1949 and 1950-2008), while long-horizon … both the full sample periods and the post war period. We also document that implied long-horizon coefficients from VAR …�but with the important di�erence that short- and
long-horizon real returns are signi�cantly predictable in both sub …