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dc.contributor.authorChalle, Edouard
dc.date.accessioned2009-12-16T13:15:36Z
dc.date.available2009-12-16T13:15:36Z
dc.date.issued2004
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/2739
dc.language.isoenen
dc.subjectCointegrationen
dc.subjectReturn predictabilityen
dc.subjectSunspotsen
dc.subject.ddc332en
dc.subject.classificationjelD84en
dc.subject.classificationjelE44en
dc.subject.classificationjelG12en
dc.titleSunspots and predictable asset returnsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenThis 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.en
dc.relation.isversionofjnlnameJournal of Economic Theory
dc.relation.isversionofjnlvol115en
dc.relation.isversionofjnlissue1en
dc.relation.isversionofjnldate2004-03
dc.relation.isversionofjnlpages182-190en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/S0022-0531(03)00253-9en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelEconomie financièreen


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