Examining the sources of excess return predictability : stochastic volatility or market inefficiency?
Kevin J. Lansing, Stephen F. LeRoy, Jun Ma
| 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 | Prognoseverfahren | Forecasting model | Risikoprämie | Risk premium | Volatilität | Volatility | Zinsstruktur | Yield curve | Schätzung | Estimation | Portfolio-Management | Portfolio selection | Zeitreihenanalyse | Time series analysis | Effizienzmarkthypothese | Efficient market hypothesis |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jebo.2022.01.028 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10013383142