Tests of return predictability: An analysis of their properties based on a continuous time asymptotic framework

Journal of Empirical Finance

Volumn 11, Issue 2, 2004, Pages 203-230

  Perron, Pierre ^a   Vodounou, Cosme ^b  

^a USA   (United States)

^b Inst Natl Stat/Analyse Economique   (Benin)

Author keywords

Forecasting; Long horizon regressions; Market efficiency; Power functions; Stock returns

Indexed keywords

EID: 1342286215     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jempfin.2003.04.001     Document Type: Article

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