Efficient Tests of Stock Return Predictability
收藏NBER2003-10-01 更新2025-01-04 收录
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https://www.nber.org/papers/w10026
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资源简介：
Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid
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美国国家经济研究局创建时间：
2003-10-01
