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Persistent link: https://www.econbiz.de/10012155318
This paper examines the cross-sectional properties of stock return forecasts based on Fama-MacBeth regressions using all firms contained in the STOXX Europe 600 index during the September 1999-December 2018 period. Our estimation approach is strictly out-of-sample, mimicking an investor who...
Persistent link: https://www.econbiz.de/10012848244