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Journal of Multinational Financial Management
Volumn 13, Issue 4-5, 2003, Pages 443-463
Statistical and economic significance of stock return predictability: A mean-variance analysis
Author keywords

Certainty equivalent of expected utility; Firm specific variables; Mean variance analysis; Out of sample prediction; Return predictability
Indexed keywords

EID: 0042710794     PISSN: 1042444X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-444X(03)00020-3     Document Type: Article
Times cited : (10)
References (11)
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  • 3
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  • 4
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    • Fama E. MacBeth J. Risk, return and equilibrium: empirical tests Journal of Political Economy 81 1973 607-636
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    • Fama, E.1    MacBeth, J.2
  • 5
    • 0010781480 scopus 로고    scopus 로고
    • Warning: Attribute-sorted portfolios can be hazardous to your research
    • S. Saitou, K. Sawaki, & K. Kubota (Eds.), Osaka, Japan: Center for Academic Societies
    • Ferson W. Warning: attribute-sorted portfolios can be hazardous to your research Saitou S. Sawaki K. Kubota K. (Eds.) Modern Portfolio Theory and Its Applications 1996 Center for Academic Societies Osaka, Japan
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    • Ferson, W.1
  • 7
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    • On the predictability of stock returns: An asset-allocation perspective
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    • McCulloch R. Rossi P. Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory Journal of Financial Economics 28 1990 7-38
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  • 10
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    • Pastor L. Stambaugh R. Comparing asset pricing models: an investment perspective Journal of Financial Economics 56 2000 335-381
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  • 11
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    • Predictability of stock returns: Robustness and economic significance
    • Pesaran M.H. Timmermann A. Predictability of stock returns: robustness and economic significance Journal of Finance 50 1995 1201-1228
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    • Pesaran, M.H.1    Timmermann, A.2

* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.