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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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
Digital Object Identifier (DOI): doi:10.1080/758533860
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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
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Date Event
Date Deposited: 09 Feb 2007
Last Modified: 31 Mar 2016 12:06

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