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Predicting excess returns in financial markets

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  • Canova, Fabio
  • Marrinan, Jane

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Bibliographic Info

Article provided by Elsevier in its journal European Economic Review.

Volume (Year): 39 (1995)
Issue (Month): 1 (January)
Pages: 35-69

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Handle: RePEc:eee:eecrev:v:39:y:1995:i:1:p:35-69

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References

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  7. Breen, William & Glosten, Lawrence R & Jagannathan, Ravi, 1989. " Economic Significance of Predictable Variations in Stock Index Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 44(5), pages 1177-89, December.
  8. Bonomo, M. & Garcia, R., 1991. "Consumption and Equilibrium Asset Pricing: an Empirical Assessment," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ 9126, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  20. John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
  21. Charles Engel, 1990. "On the foreign exchange risk premium in a general equilibrium model," Research Working Paper, Federal Reserve Bank of Kansas City 90-06, Federal Reserve Bank of Kansas City.
  22. Kocherlakota, Narayana R., 1990. "On tests of representative consumer asset pricing models," Journal of Monetary Economics, Elsevier, Elsevier, vol. 26(2), pages 285-304, October.
  23. Karen K. Lewis, 1991. "Should the Holding Period Matter for the Intertemporal Consumption-BasedCAPM?," NBER Working Papers 3583, National Bureau of Economic Research, Inc.
  24. Kandel, Shmuel & Stambaugh, Robert F, 1990. "Expectations and Volatility of Consumption and Asset Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 3(2), pages 207-32.
  25. Hodrick, Robert J & Kocherlakota, Narayana R & Lucas, Deborah, 1991. "The Variability of Velocity in Cash-in-Advance Models," Journal of Political Economy, University of Chicago Press, University of Chicago Press, vol. 99(2), pages 358-84, April.
  26. Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1988. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc.
  27. Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 3-25, October.
  28. Lee, Bong-Soo & Ingram, Beth Fisher, 1991. "Simulation estimation of time-series models," Journal of Econometrics, Elsevier, Elsevier, vol. 47(2-3), pages 197-205, February.
  29. Telmer, Chris I, 1993. " Asset-Pricing Puzzles and Incomplete Markets," Journal of Finance, American Finance Association, American Finance Association, vol. 48(5), pages 1803-32, December.
  30. Poterba, James M. & Summers, Lawrence H., 1988. "Mean reversion in stock prices : Evidence and Implications," Journal of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 27-59, October.
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  35. Henriksson, Roy D & Merton, Robert C, 1981. "On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills," The Journal of Business, University of Chicago Press, vol. 54(4), pages 513-33, October.
  36. Robert J. Shiller, 1984. "Stock Prices and Social Dynamics," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 15(2), pages 457-510.
  37. Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, Elsevier, vol. 5(2), pages 115-146, November.
  38. Hamao, Yasushi, 1988. "An empirical examination of the Arbitrage Pricing Theory : Using Japanese data," Japan and the World Economy, Elsevier, Elsevier, vol. 1(1), pages 45-61, October.
  39. Tiff Macklem, R., 1991. "Forward exchange rates and risk premiums in artificial economies," Journal of International Money and Finance, Elsevier, Elsevier, vol. 10(3), pages 365-391, September.
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Citations

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Cited by:
  1. David Backus & Silverio Foresi & Chris Telmer, 1996. "Affine Models of Currency Pricing," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- 96-9, New York University, Leonard N. Stern School of Business-.
  2. Lee, Young-Sook, 2003. "The Federal funds market and the overnight Eurodollar market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 27(4), pages 749-771, April.
  3. James R. Lothian & Liuren Wu, 2003. "Uncovered Interest Rate Parity Over the Past Two Centuries," International Finance, EconWPA 0311009, EconWPA.
  4. Nucci, Francesco, 2003. "Cross-currency, cross-maturity forward exchange premiums as predictors of spot rate changes: Theory and evidence," Journal of Banking & Finance, Elsevier, Elsevier, vol. 27(2), pages 183-200, February.
  5. Christopher F. Baum & Basma Bekdache, 1995. "Modeling Returns on the Term Structure of Treasury Interest Rates," Boston College Working Papers in Economics, Boston College Department of Economics 288., Boston College Department of Economics.
  6. González, Manuel, 2004. "La Curva de Retorno y el Modelo C-CAPM: Evidencia para Chile," MPRA Paper 309, University Library of Munich, Germany.
  7. Canova, Fabio & Marrinan, Jane, 1996. "Reconciling the term structure of interest rates with the consumption-based ICAP model," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 20(4), pages 709-750, April.
  8. Canova, Fabio & De Nicolo', Gianni, 1995. "Stock returns and real activity: A structural approach," European Economic Review, Elsevier, Elsevier, vol. 39(5), pages 981-1015, May.

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