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 |
|---|---|
| Related URLs: | |
| Subjects: | H Social Sciences > HD Industries. Land use. Labor > HD28 Management. Industrial Management |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 37375 |
| Date Deposited: | 09 Feb 2007 |
| Last Modified: | 02 Mar 2012 13:06 |
| Contributors: | Clare, A. (Author) Priestley, R. (Author) Thomas, S. (Author) |
| Date: | 1997 |
| Status: | Published |
| URI: | http://eprints.soton.ac.uk/id/eprint/37375 |
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