Time-varying expected returns : evidence from the U.S. and the U.K
I assess the relative performance of several empirical proxies developed in the literature of asset pricing to capture time-variation in expected future returns using data for the U.S. and the U.K.. I show that the wealth composition risk by Sousa (2010) exhibits strong forecasting power.
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| Formato: | workingPaper |
| Idioma: | eng |
| Publicado em: |
2010
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| Texto completo: | http://hdl.handle.net/1822/11710 |
| País: | Portugal |
| Oai: | oai:repositorium.sdum.uminho.pt:1822/11710 |