Work

Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?

Year: 1995

Type: article

Abstract: Recent studies find evidence that the rates of return to holding common stocks and bonds are, to some extent, predictable over time. While measurement errors can induce spurious predictability,

Source: The Journal of Business

DOI: 10.1086/296667

Authors: Wayne E. Ferson, Robert A. Korajczyk

Institutions: University of Southern California, National Bureau of Economic Research, Northwestern University

Language: English

Topic: Financial Markets and Investment Strategies

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2091437772

FWCI: 24.85

Cites: 67

Cited by: 332

Related to: 8