Efficient tests of stock return predictability☆

• 1 July 2006
• journal article
• Published by Elsevier in Journal of Financial Economics
• Vol. 81  (1) , 27-60
• https://doi.org/10.1016/j.jfineco.2005.05.008

Abstract

Keywords

• C12
• C22
• BONFERRONI TEST
• DIVIDEND YIELD
• PREDICTABILITY
• STOCK RETURNS
• UNIT ROOT

All Related Versions

• Version 1, 2002-01-01, RePEc (Unconfirmed version)
• Version 1, 2003-01-01, RePEc (Unconfirmed version)