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On the Predictability of Stock Returns: An Asset-Allocation Perspective / Shmuel Kandel, Robert F. Stambaugh.
- Format:
- Book
- Author/Creator:
- Kandel, Shmuel.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w4997.
- NBER working paper series no. w4997
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- On the Predictability of Stock Returns
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1995.
- Summary:
- The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.
- Notes:
- Print version record
- January 1995.
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