Comovement and return predictability in asset markets : an experiment with two Lucas trees
Year of publication: |
2021
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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
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Subject: | Asset pricing | Comovement | Experimental finance | Return predictability | Time series momentum | Two trees model | Kapitaleinkommen | Capital income | Prognoseverfahren | Forecasting model | Portfolio-Management | Portfolio selection | Finanzmarkt | Financial market | CAPM | Börsenkurs | Share price | Zeitreihenanalyse | Time series analysis | Korrelation | Correlation | Kapitalmarkttheorie | Financial economics | Experiment | Volatilität | Volatility |
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