What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?

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  • 1 January 2002
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      • Published in RePEc
Abstract
Multihorizon temporal relationships between stock returns are complex due to confounding sources of return premia, microstructure effects, and changes in the relationship over various horizons. We find the relation to be further complicated by the sign and consistency of the past return that also varies, somewhat sensibly, with th

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