Showing 1 - 10 of 895,388
Persistent link: https://www.econbiz.de/10001530439
Persistent link: https://www.econbiz.de/10001186491
Persistent link: https://www.econbiz.de/10009615725
Persistent link: https://www.econbiz.de/10011390409
Persistent link: https://www.econbiz.de/10010497568
Persistent link: https://www.econbiz.de/10011885978
Persistent link: https://www.econbiz.de/10012122451
Stock market predictability is of considerable interest in both academic research and investment practice. Ross (2005) provides a simple and elegant upper bound on the predictive regression R-squared that R^2 = (1 R_f)^2 Var(m) for a given asset pricing model with kernel m, where R_f is the...
Persistent link: https://www.econbiz.de/10013150862
In this paper we show that the failure of the CAPM beta to predict individual stocks' expected returns documented by …. These stocks' betas tend to reverse. Therefore, even when the CAPM holds period-by-period, the cross-sectional evidence on …
Persistent link: https://www.econbiz.de/10013057128
Persistent link: https://www.econbiz.de/10012820326