search query: @author Kirby, C. / total: 5
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| Author: | Kirby, C. |
| Title: | The restrictions on predictability implied by rational asset pricing models |
| Journal: | Review of Financial Studies
1998 : SUMMER, VOL. 11:2, p. 343-382 |
| Index terms: | FINANCE MODELS PRICING |
| Language: | eng |
| Abstract: | This article shows how rational asset pricing models restrict the regression-based criteria commonly used to measure return predictability. Specifically it invokes no-arbitrage arguments to show that the intercept, slope coefficients, and R2 in predictive regressions must take specific values. These restrictions provide a way to directly assess whether the predictability uncovered using regression analysis is consistent with rational pricing, claim the authors of the paper. |
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