Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
收藏NBER1991-07-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3790
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资源简介：
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied
提供机构：
美国国家经济研究局
创建时间：
1991-07-01
