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  • Search: subject:"mean-reversion and predictability"
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Year of publication
Subject
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Asset market returns 1 Hansen-Jagannathan bound 1 mean-reversion and predictability 1
Type of publication
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Book / Working Paper 1
Language
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Undetermined 1
Author
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Belter, Klaus 1 Engsted, Tom 1 Tanggaard, Carsten 1
Institution
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Ehrvervøkonomisk Institut, Institut for Økonomi 1
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Finance Working Papers 1
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RePEc 1
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A New Daily Dividend-adjusted Index for the Danish Stock Market, 1985-2002: Construction, Statistical Properties, and Return Predictability
Belter, Klaus; Engsted, Tom; Tanggaard, Carsten - Ehrvervøkonomisk Institut, Institut for Økonomi - 2003
We present a new dividend-adjusted blue chip index for the Dan- <p> ish stock market covering the period 1985-2002. In contrast to <p> other indices on the Danish stock market, the index is calcu- <p> lated on a daily basis. In the first part of the paper a detailed <p> description of the construction of...</p></p></p></p>
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