Stock return predictability and model uncertainty

• 1 June 2002
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 64  (3) , 423-458
• https://doi.org/10.1016/s0304-405x(02)00131-9

Abstract

Keywords

• G11
• G12
• C11
• STOCK RETURN PREDICTABILITY
• MODEL UNCERTAINTY
• BAYESIAN MODEL AVERAGING
• PORTFOLIO SELECTION
• VARIANCE DECOMPOSITION