Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Year of publication: |
2022
|
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Authors: | Lansing, Kevin J. ; LeRoy, Stephen F. ; Ma, Jun |
Published in: |
Journal of economic behavior & organization : JEBO. - Amsterdam [u.a.] : Elsevier, ISSN 0167-2681, ZDB-ID 864321-0. - Vol. 197.2022, p. 50-72
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Subject: | Equity premium | Excess volatility | Market sentiment | Return predictability | Time series momentum | Yield curve noise | Kapitaleinkommen | Capital income | Volatilität | Volatility | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Schätzung | Estimation | Zeitreihenanalyse | Time series analysis | Zinsstruktur | Yield curve | Börsenkurs | Share price | Stochastischer Prozess | Stochastic process | Effizienzmarkthypothese | Efficient market hypothesis |
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