Westerlund, Joakim; Narayan, Paresh K - Deakin University, Faculty of Business and Law, School … - 2012
While the literature concerned with the predictability of stock returns is huge, surprisingly little is known when it comes to role of the choice of estimator of the predictive regression. Ideally, the choice of estimator should be rooted in the salient features of the data. In case of...
