Efficient tests of stock return predictability

Journal of Financial Economics

Volumn 81, Issue 1, 2006, Pages 27-60

  Campbell, John Y ^a   Yogo, Motohiro ^b  

^a HARVARD UNIVERSITY   (United States)

^b UNIVERSITY OF PENNSYLVANIA   (United States)

Author keywords

Bonferroni test; Dividend yield; Predictability; Stock returns; Unit root

Indexed keywords

EID: 33745138559     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jfineco.2005.05.008     Document Type: Article

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