Auflistung nach Autor "Semenischev, Michael"
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Predictability and the Cross-Section of Expected Returns: A Challenge for Asset Pricing Models
Schlag, Christian; Semenischev, Michael; Thimme, Julian (2021-01-22)"Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price-dividend ratio and the variance risk premium of the aggregate stock market. We propose a simple empirical test ...