Stock return predictability or mismeasured risk?


Clare, A., Priestley, R. and Thomas, S. (1997) Stock return predictability or mismeasured risk? Applied Financial Economics, 7, (6), 679-687. (doi:10.1080/758533860).

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Original Publication URL: http://dx.doi.org/10.1080/758533860

Description/Abstract

We investigate the predictable component of excess returns in German, Japanese, UK and US aggregate stock indices, finding evidence to suggest that the frequently documented predictable component in excess returns is predominantly due to a failure in previous research to consider risk.

Item Type: Article
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Subjects: H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 37375
Date Deposited: 09 Feb 2007
Last Modified: 27 Mar 2014 18:23
URI: http://eprints.soton.ac.uk/id/eprint/37375

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