The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence
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More about this item
Keywordsstock return predictability; portfolio choice; Bayesian Model Averaging; SUR model;
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-03-28 (All new papers)
- NEP-FMK-2009-03-28 (Financial Markets)
- NEP-UPT-2009-03-28 (Utility Models & Prospect Theory)
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