Stock return predictability or mismeasured risk?

A. D. Clare, Richard Priestley () and S. H. Thomas

Applied Financial Economics, 1997, vol. 7, issue 6, 679-687

Abstract: We investigate the predictable component of excess returns in German, Japanese, UK and US aggregate stock indices, finding evidence to suggest that the frequently documented predictable component in excess returns is predominantly due to a failure in previous research to consider risk.

Date: 1997
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DOI: 10.1080/758533860

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