How Much Do Expected Stock Returns Vary Over Time
نویسندگان
چکیده
This paper makes indirect inference about the time-variation in expected stock returns by comparing unconditional sample variances to estimates of expected conditional variances. The evidence reveals more predictability as more information is used, more reliable predictability in indexes than large common stocks, and no evidence that predictability has diminished over time. A "strong-form" analysis using options suggests that time-variation in market discount rates are economically important.
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