Comovement and return predictability in asset markets : an experiment with two Lucas trees
Charles N. Noussair, Andreea Victoria Popescu
| Year of publication: |
2021
|
|---|---|
| Authors: | Noussair, Charles ; Popescu, Andreea Victoria |
| Published in: |
Journal of economic behavior & organization : JEBO. - Amsterdam [u.a.] : Elsevier, ISSN 0167-2681, ZDB-ID 864321-0. - Vol. 185.2021, p. 671-687
|
| Subject: | Asset pricing | Comovement | Experimental finance | Return predictability | Time series momentum | Two trees model | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Finanzmarkt | Financial market | Portfolio-Management | Portfolio selection | Börsenkurs | Share price | CAPM | Experiment | Zeitreihenanalyse | Time series analysis | Kapitalmarkttheorie | Financial economics | Volatilität | Volatility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jebo.2021.03.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012601339