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Predicting stock returns

  • Avramov, Doron
  • Chordia, Tarun
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    File URL: http://www.sciencedirect.com/science/article/B6VBX-4KWTFMK-1/2/7942dbecd1247688774c384c0540483e
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    Article provided by Elsevier in its journal Journal of Financial Economics.

    Volume (Year): 82 (2006)
    Issue (Month): 2 (November)
    Pages: 387-415

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    Handle: RePEc:eee:jfinec:v:82:y:2006:i:2:p:387-415
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/505576

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    21. Keim, Donald B. & Stambaugh, Robert F., 1986. "Predicting returns in the stock and bond markets," Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
    22. Lubos Pastor & Robert F. Stambaugh, . "Comparing Asset Pricing Models: An Investment Perspective," Rodney L. White Center for Financial Research Working Papers 16-99, Wharton School Rodney L. White Center for Financial Research.
    23. Kenneth D. West & Hali J. Edison & Dongchul Cho, 1992. "A Utility Based Comparison of Some Models of Exchange Rate Volatility," NBER Technical Working Papers 0128, National Bureau of Economic Research, Inc.
    24. Martin Lettau & Sydney Ludvigson, 2001. "Resurrecting the (C)CAPM: A Cross-Sectional Test When Risk Premia Are Time-Varying," Journal of Political Economy, University of Chicago Press, vol. 109(6), pages 1238-1287, December.
    25. Fama, Eugene F & MacBeth, James D, 1973. "Risk, Return, and Equilibrium: Empirical Tests," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 607-36, May-June.
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