Predictable returns and asset allocation: should a skeptical investor time the market?
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Publication:301975
DOI10.1016/J.JECONOM.2008.10.009zbMATH Open1429.91295OpenAlexW3121735048MaRDI QIDQ301975FDOQ301975
Missaka Warusawitharana, Jessica A. Wachter
Publication date: 4 July 2016
Published in: Journal of Econometrics (Search for Journal in Brave)
Full work available at URL: https://repository.upenn.edu/cgi/viewcontent.cgi?article=1023&context=fnce_papers
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Cited In (8)
- Hedging recessions
- Should smart investors buy funds with high past returns?*
- Why is it so difficult to uncover the risk-return tradeoff in stock returns?
- Bayesian reconciliation of return predictability
- What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio
- Optimal asset allocation with multivariate Bayesian dynamic linear models
- Strategic asset allocation with liabilities: beyond stocks and bonds
- Predictability of stock returns and asset allocation under structural breaks
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