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make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and …
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make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and …
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Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid...
Persistent link: https://www.econbiz.de/10012767723
Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid...
Persistent link: https://www.econbiz.de/10012468672
that to make sense of asset market behavior one needs a model in which the market price of risk is high, time-varying, and …
Persistent link: https://www.econbiz.de/10014024221