From Which Consumption-Based Asset Pricing Models Can Investors Profit? Evidence from Model-Based Priors
This article analyzes whether consumption-based asset pricing models improve the excess returns forecasts of a hypothetical investor with access to these models from 1947 onwards. The investor imposes economic constraints derived from asset pricing models as model-based priors on predictive regressi...
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| Format: | Article |
| Language: | English |
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Oxford University Press
2022
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| Online Access: | View Fulltext in Publisher |