The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence
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Cited by:
- 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.
- Wade D. Pfau, 2012. "Long-term investors and valuation-based asset allocation," Applied Financial Economics, Taylor & Francis Journals, vol. 22(16), pages 1343-1353, August.
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More about this item
Keywords
stock return predictability; portfolio choice; Bayesian Model Averaging; SUR model;All these keywords.
JEL classification:
- 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 fields
This paper has been announced in the following NEP Reports:- NEP-FMK-2009-03-28 (Financial Markets)
- NEP-UPT-2009-03-28 (Utility Models and Prospect Theory)
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