A Variance Decomposition for Swiss Stock Market Returns

This paper analyzes the persistence or serial correlation of expected returns as well as the univariate time-series approach that studies the implied autocorrelation function of realized stock returns, including meanreversion and its conditions.

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Year of publication:	2004-10-07
Authors:	Rey, David
Publisher:	Wirtschaftswissenschaftliches Zentrum <Basel>
Subject:	Aktienmarkt \| Rendite \| Erwartungswert-Varianz-Ansatz

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Extent:	427008 bytes 38 p. text/html
Series:	Universität Basel - Abteilung Finanzmarkttheorie - Publikationen Working Paper ; No. 7/04
Type of publication:	Book / Working Paper
Language:	English
Classification:	Corporate finance and investment policy. General ; Individual Working Papers, Preprints ; Switzerland. General Resources
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005849475