haku: @author Malliaropulos, D. / yhteensä: 2
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| Tekijä: | Malliaropulos, D. |
| Otsikko: | Excess stock returns and news: evidence from European markets |
| Lehti: | European Financial Management
1998 : MAR, VOL. 4:1, p. 29-46 |
| Asiasana: | MODELS ASSETS PRICING UNIT ROOTS MONTE CARLO TECHNIQUE STOCK MARKETS EUROPE |
| Kieli: | eng |
| Tiivistelmä: | The paper is targeted at decomposing the forecast error variance of excess returns in European stock markets into the variance of news about future excess returns, real interest rates and dividends. Empirical results indicate that in some markets the dividend yield is subject to structural breaks in the mean. Evidence from Monte Carlo simulations suggests that this kind of structural breaks cause small-sample bias in variance decompositions of a magnitude comparable to bias introduced by unit roots. The results of the paper constitute a warning about certain return decompositions. |
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