The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Buiter, Willem H., 1987.
"Efficient 'myopic' asset pricing in general equilibrium : A potential pitfall in excess volatility tests,"
Economics Letters, Elsevier, vol. 25(2), pages 143-148.
- Willem H. Buiter, 1987. "Efficient "Myopic" Asset Pricing in General Equilibrium: A Potential Pitfall in Excess Volatility Tests," NBER Working Papers 2251, National Bureau of Economic Research, Inc.
- Walter Torous & Rossen Valkanov & Shu Yan, 2004. "On Predicting Stock Returns with Nearly Integrated Explanatory Variables," The Journal of Business, University of Chicago Press, vol. 77(4), pages 937-966, October.
- Ľuboš Pástor & Robert F. Stambaugh, 2012.
"Are Stocks Really Less Volatile in the Long Run?,"
Journal of Finance, American Finance Association, vol. 67(2), pages 431-478, April.
- Stambaugh, Robert F. & Pástor, Luboš, 2009. "Are Stocks Really Less Volatile in the Long Run?," CEPR Discussion Papers 7199, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh, 2009. "Are Stocks Really Less Volatile in the Long Run?," NBER Working Papers 14757, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- W. F. Sharpe, 1966. "Security Prices, Risk, And Maximal Gains From Diversification: Reply," Journal of Finance, American Finance Association, vol. 21(4), pages 743-744, December.
- Levhari, David & Levy, Haim, 1977. "The Capital Asset Pricing Model and the Investment Horizon," The Review of Economics and Statistics, MIT Press, vol. 59(1), pages 92-104, February.
- Ibarra, Raul, 2013. "A spatial dominance approach to evaluate the performance of stocks and bonds: Does the investment horizon matter?," The Quarterly Review of Economics and Finance, Elsevier, vol. 53(4), pages 429-439.
- John Lintner, 1965. "Security Prices, Risk, And Maximal Gains From Diversification," Journal of Finance, American Finance Association, vol. 20(4), pages 587-615, December.
- Robin Greenwood & Andrei Shleifer, 2014.
"Expectations of Returns and Expected Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 27(3), pages 714-746.
- Robin Greenwood & Andrei Shleifer, "undated". "Expectations of Returns and Expected Returns," Working Paper 102501, Harvard University OpenScholar.
- Greenwood, Robin Marc & Shleifer, Andrei, 2014. "Expectations of Returns and Expected Returns," Scholarly Articles 11880390, Harvard University Department of Economics.
- Robin Greenwood & Andrei Shleifer, 2013. "Expectations of Returns and Expected Returns," NBER Working Papers 18686, National Bureau of Economic Research, Inc.
- Sangbae Kim & Francis In, 2010. "Portfolio allocation and the investment horizon: a multiscaling approach," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 443-453.
- Robert J. Shiller, 2014.
"Speculative Asset Prices,"
American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
- Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
- Ho-Mou Wu & Wen-Chung Guo, 2004. "Asset price volatility and trading volume with rational beliefs," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 23(4), pages 795-829, May.
- Eunhee Lee & Chang Kim & In-Moo Kim, 2015. "Equity premium over different investment horizons," Empirical Economics, Springer, vol. 48(3), pages 1169-1187, May.
- Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, vol. 68(2), pages 201-232, May.
- Robert J. Shiller, 2014. "Speculative Asset Prices (Nobel Prize Lecture)," Cowles Foundation Discussion Papers 1936, Cowles Foundation for Research in Economics, Yale University.
- Lee-Young Cheng & Ming-Chang Wang & Kung-Chi Chen, 2014. "Institutional Investment Horizons and the Stock Performance of Private Equity Placements: Evidence from the Taiwanese Listed Firms," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 17(02), pages 1-30.
- Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.
- Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, vol. 74(2), pages 209-235, November.
- Jeeman Jung & Robert J. Shiller, 2005. "Samuelson's Dictum and the Stock Market," Economic Inquiry, Western Economic Association International, vol. 43(2), pages 221-228, April.
- Carlo A. Favero & Federico Nucera, 2014. "How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.
- Myles E. Mangram, 2013. "A Simplified Perspective Of The Markowitz Portfolio Theory," Global Journal of Business Research, The Institute for Business and Finance Research, vol. 7(1), pages 59-70.
- Fama, Eugene F. & French, Kenneth R., 1993. "Common risk factors in the returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 33(1), pages 3-56, February.
- Roger Ibbotson & Peng Chen, 2001. "Stock Market Returns in the Long Run: Participating in the Real Economy," Yale School of Management Working Papers ysm206, Yale School of Management, revised 01 Apr 2002.
- Nicholas Barberis & Ming Huang & Tano Santos, 2001. "Prospect Theory and Asset Prices," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 116(1), pages 1-53.
- Robertson, Donald & Wright, Stephen, 1998. "The Good News and the Bad News about Long-run Stock Market Returns," Cambridge Working Papers in Economics 9822, Faculty of Economics, University of Cambridge.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, vol. 106(3), pages 586-613.
- Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, vol. 100(3), pages 475-495, June.
- Giot, Pierre & Petitjean, Mikael, 2007.
"The information content of the Bond-Equity Yield Ratio: Better than a random walk?,"
International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305.
- GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," LIDAM Discussion Papers CORE 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- GIOT, Pierre & PETITJEAN, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," LIDAM Reprints CORE 1982, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- John H. Cochrane, 2017.
"Macro-Finance,"
Review of Finance, European Finance Association, vol. 21(3), pages 945-985.
- John H. Cochrane, 2016. "Macro-Finance," NBER Working Papers 22485, National Bureau of Economic Research, Inc.
- repec:wyi:journl:002108 is not listed on IDEAS
- Wachter, Jessica A. & Warusawitharana, Missaka, 2009.
"Predictable returns and asset allocation: Should a skeptical investor time the market?,"
Journal of Econometrics, Elsevier, vol. 148(2), pages 162-178, February.
- Jessica A. Wachter & Missaka Warusawitharana, 2006. "Predictable returns and asset allocation: Should a skeptical investor time the market?," 2006 Meeting Papers 22, Society for Economic Dynamics.
- Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
- John H. Cochrane, 2008.
"The Dog That Did Not Bark: A Defense of Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
- John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010.
"Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns,"
The Review of Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
- John Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or glamour? fundamentals and systemic risk in stock returns," Proceedings, Board of Governors of the Federal Reserve System (U.S.).
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," NBER Working Papers 11389, National Bureau of Economic Research, Inc.
- Polk, Christopher & Vuolteenaho, Tuomo & Campbell, John Y., 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Scholarly Articles 9887622, Harvard University Department of Economics.
- John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2005. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Harvard Institute of Economic Research Working Papers 2082, Harvard - Institute of Economic Research.
- Xyngis, Georgios, 2017. "Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks," Journal of Empirical Finance, Elsevier, vol. 44(C), pages 43-65.
- Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, April.
- Catherine Georgiou, 2020. "The British Stock Market under the Structure of Market Capitalization Value: New Evidence on its Predictive Content," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, vol. 13(3), pages 56-69, December.
- Chiquoine, Benjamin & Hjalmarsson, Erik, 2009.
"Jackknifing stock return predictions,"
Journal of Empirical Finance, Elsevier, vol. 16(5), pages 793-803, December.
- Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers 932, Board of Governors of the Federal Reserve System (U.S.).
- Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
- Tim Bollerslev & George Tauchen & Hao Zhou, 2009.
"Expected Stock Returns and Variance Risk Premia,"
The Review of Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
- Tim Bollerslev & Hao Zhou, 2006. "Expected stock returns and variance risk premia," Finance and Economics Discussion Series 2007-11, Board of Governors of the Federal Reserve System (U.S.).
- Tim Bollerslev & Hao Zhou, 2007. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2007-17, Department of Economics and Business Economics, Aarhus University.
- Tim Bollerslev & Tzuo Hao & George Tauchen, 2008. "Expected Stock Returns and Variance Risk Premia," CREATES Research Papers 2008-48, Department of Economics and Business Economics, Aarhus University.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Robert J. Shiller, 2014.
"Speculative Asset Prices,"
American Economic Review, American Economic Association, vol. 104(6), pages 1486-1517, June.
- Shiller, Robert J., 2013. "Speculative Asset Prices," Nobel Prize in Economics documents 2013-6, Nobel Prize Committee.
- Jennie Bai, 2010. "Equity premium predictions with adaptive macro indexes," Staff Reports 475, Federal Reserve Bank of New York.
- Maynard, Alex & Shimotsu, Katsumi, 2009.
"Covariance-Based Orthogonality Tests For Regressors With Unknown Persistence,"
Econometric Theory, Cambridge University Press, vol. 25(1), pages 63-116, February.
- Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 North American Summer Meetings 536, Econometric Society.
- Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings 518, Econometric Society.
- Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based Orthogonality Tests For Regressors With Unknown Persistence," Working Paper 1122, Economics Department, Queen's University.
- Ferson, Wayne E. & Sarkissian, Sergei & Simin, Timothy, 2008.
"Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression,"
Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 331-353, June.
- Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
- Campbell, John Y. & Yogo, Motohiro, 2006.
"Efficient tests of stock return predictability,"
Journal of Financial Economics, Elsevier, vol. 81(1), pages 27-60, July.
- John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers 1972, Harvard - Institute of Economic Research.
- John Y. Campbell & Motohiro Yogo, 2003. "Efficient Tests of Stock Return Predictability," NBER Working Papers 10026, National Bureau of Economic Research, Inc.
- Campbell, John & Yogo, Motohiro, 2006. "Efficient tests of stock return predictability," Scholarly Articles 3122601, Harvard University Department of Economics.
- Larrain, Borja & Yogo, Motohiro, 2008.
"Does firm value move too much to be justified by subsequent changes in cash flow,"
Journal of Financial Economics, Elsevier, vol. 87(1), pages 200-226, January.
- Borja Larrain & Motohiro Yogo, 2005. "Does firm value move too much to be justified by subsequent changes in cash flow?," Working Papers 05-18, Federal Reserve Bank of Boston.
- Borja Larrain & Motohiro Yogo, 2007. "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers 12847, National Bureau of Economic Research, Inc.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:vul:omefvu:v:7:y:2016:i:2:id:210. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sigitas Urbonavicius (email available below). General contact details of provider: https://edirc.repec.org/data/fecvult.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.