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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), pp. 679-687. (doi:10.1080/758533860).

Record type: Article

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.

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Published date: 1997

Identifiers

Local EPrints ID: 37375
URI: http://eprints.soton.ac.uk/id/eprint/37375
ISSN: 0960-3107
PURE UUID: c0eff43c-5fea-4352-bf27-dd948c4c655b

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Date deposited: 09 Feb 2007
Last modified: 17 Jul 2017 15:42

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Contributors

Author: A. Clare
Author: R. Priestley
Author: S. Thomas

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