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We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable by three instruments: the …
Persistent link: https://www.econbiz.de/10012470517
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied...
Persistent link: https://www.econbiz.de/10012475210