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Is the stock market predictable? : Forget autoregressive models ; dividend yield models do have some predictive power

Fuller, Russell J. - In: The journal of portfolio management : a publication of … 16 (1990) 4, pp. 28-36

Persistent link: https://www.econbiz.de/10001112348

Estimating the negative impact of "noise" on the returns of cap-weighted portfolios in various segments of the equity markets

Fuller, Russell J.; Han, Bing; Tung, Yining - In: Journal of investment management : JOIM 10 (2012) 3, pp. 49-74

Persistent link: https://www.econbiz.de/10009656742

Estimating the Negative Impact of 'Noise' on the Returns of Cap-Weighted Portfolios in Various Segments of the Equity Markets

Fuller, Russell J. - 2012

Capital Market Theory assumes that the ex ante market portfolio (which is cap-weighted) lies on the (ex ante) efficient frontier. However, we show that ex ante cap-weighted portfolios will always be interior portfolios relative to the end-of-investment-period ex post efficient frontier. This is...

Persistent link: https://www.econbiz.de/10013099427

Stamp returns and economic factors

Cardell, Nicholas Scott - In: Southern economic journal 62 (1995) 2, pp. 411-427

Persistent link: https://www.econbiz.de/10001196144

Real estate returns and the macroeconomy : some empirical evidence from real estate investment trust data, 1972 - 1991

MacCue, Thomas E. - In: The journal of real estate research 9 (1994) 3, pp. 277-287

Persistent link: https://www.econbiz.de/10001174319

Business conditions and the variation of skewness in asset returns

Alles, Lakshman; Kling, John L. - 1992

Persistent link: https://www.econbiz.de/10000845861