What Do We Really Know About the Cross-Sectional Relation Between Past and Expected Returns?
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https://www.nber.org/papers/w8744
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资源简介：
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
提供机构：
美国国家经济研究局
创建时间：
2002-01-01
