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~accessRights:"free"
~person:"Pedersen, Thomas Q."
~subject:"Taylor expansion"
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Taylor expansion
VAR model
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Dividend-price ratio
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Intertemporal portfolio choice
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OECD countries
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Real estate predictability
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Return predictability
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Stock return
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asymptotic and small-sample tests
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bubble
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dynamic Gordon growth model
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equity return and dividend growth
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multivariate model
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out-of-sample forecast
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portfolio choice
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predictability
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quantile regression
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rent-price ratio
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return distribution
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return predictability
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short- and long horizon predictability
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Pedersen, Thomas Q.
Engsted, Tom
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Tanggaard, Carsten
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School of Economics and Management, University of Aarhus
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The log-linear return approximation, bubbles, and
predictability
Engsted, Tom
;
Pedersen, Thomas Q.
;
Tanggaard, Carsten
-
School of Economics and Management, University of Aarhus
-
2010
show that a bubble model in which expected returns are constant can explain the
predictability
of stock returns from the …
Persistent link: https://www.econbiz.de/10008462020
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