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Predictive ability of three different estimates of "cay" to excess stock returns : a comparative study for South Africa and USA
Emara, Noha - In: European research studies : an international … 17 (2014) 1, pp. 3-17
Persistent link: https://www.econbiz.de/10011383243
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Predictive Ability of Three Different Estimates of ‘Cay’ to Excess Stock Returns – A Comparative Study for South Africa and USA
Emara, Noha - 2021
The results of Lettau and Ludvigson (2001) show that Cay-LL has a significant predictive power both in the in-sample and the out-of-sample forecast of excess return. Our study departs from Lettau and Ludvigson (2001) in adding and comparing other two estimates of cay namely cay-OLS and cay-DLS...
Persistent link: https://www.econbiz.de/10013233360
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Predictive Ability of Three Different Estimates of ‘Cay’ to Excess Stock Returns - A Comparative Study Germany & U.S
Emara, Noha - 2021
The results of (Lettau, M.; Ludvison, S.,(2001)) show that Cay-LL has a significant predictive power both in the in-sample and the out-of-sample forecast of excess return. Our study departs from Lettau, M.; Ludvison, S.,(2001) in adding and comparing other two estimates of “cay” namely...
Persistent link: https://www.econbiz.de/10013233369