Bec, Frédérique; Gollier, Christian - Théorie Économique, Modélisation, Application … - 2008
, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment … conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent … down from 22% for a 1-year horizon to only 2.8% for a 25-year investment horizon. They suggest that long-horizon investors …