Size and power in tests of return predictability

DOI10.1080/14697688.2021.2020888zbMath1491.91133OpenAlexW4207020913MaRDI QIDQ5079406

Rish Singhania, Stephen F. LeRoy

Publication date: 27 May 2022

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2021.2020888

zbMATH Keywords

powermarket efficiencyreturn predictabilitylong-horizon regressionsdividend-growth regressions

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Cites Work

• The Present-Value Relation: Tests Based on Implied Variance Bounds
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