Why Long Horizons: A Study of Power Against Persistent Alternatives
收藏NBER1993-09-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/t0142
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资源简介：
This paper studies tests of predictability in regressions with a given AR(1) regressor and an asset return dependent variable measured over a short or long horizon. The paper shows that when there is a persistent predictable component in the return, an increase in the horizon may increase the R2
提供机构：
美国国家经济研究局
创建时间：
1993-09-01
