Time-varying expected returns : evidence from the united states and the United Kingdom

I assess the relative performance of several exmpirical proxies developed in the literature of asset pricing to capture time variation in expected future returns using data for the United States and the United Kingdom. I show that the wealth composition risk by Sousa (2010a) exhibits strong forecast...

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Detalhes bibliográficos
Autor principal: Sousa, Ricardo M. (author)
Formato: article
Idioma:eng
Publicado em: 2012
Assuntos:
Asset pricing
Wealth
Empirical proxies
Expected returns
Social Sciences
Texto completo:http://hdl.handle.net/1822/20016
País:Portugal
Oai:oai:repositorium.sdum.uminho.pt:1822/20016

Texto Completo

http://hdl.handle.net/1822/20016

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