Kinnunen, Jyri - In: Emerging Markets Review 15 (2013) C, pp. 107-121
information flow. In general, predictability of the Russian stock market return is at a high level. Autocorrelation increases …This paper explores whether the relevance of a conditional multifactor model and autocorrelation in predicting the … Russian aggregate stock return fluctuates over time. The source of return predictability is shown to vary considerably with …