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).


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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
ISSNs: 0960-3107 (print)
ePrint ID: 37375
Date :
Date Event
Date Deposited: 09 Feb 2007
Last Modified: 16 Apr 2017 22:03
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