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Sunspots and predictable asset returns

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Date
2004
Dewey
Economie financière
Sujet
Cointegration; Return predictability; Sunspots
JEL code
D84; E44; G12
Journal issue
Journal of Economic Theory
Volume
115
Number
1
Publication date
03-2004
Article pages
182-190
Publisher
Elsevier
DOI
http://dx.doi.org/10.1016/S0022-0531(03)00253-9
URI
https://basepub.dauphine.fr/handle/123456789/2739
Collections
  • DRM : Publications
Metadata
Show full item record
Author
Challe, Edouard
Type
Article accepté pour publication ou publié
Abstract (EN)
This paper uses a stylised asset-pricing model to show that sunspots may cause asset returns to be predictable, a widely documented feature of many speculative markets. This result parallels and extends previous works showing that sunspots render asset prices excessively volatile.

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