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Robust econometric inference for stock return predictability
This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors’ degree of persistence, (2)...
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Robust econometric inference for stock return predictability
This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors’ degree of persistence, (2)...
Published by: