Excess return refers to the return on an investment that surpasses the return of a benchmark or a risk-free rate. It measures the performance of an investment in relation to its expected or required ...
Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?
We use a consumption based asset pricing model to show that the predictability of excess returns on risky assets can arise from only two sources: (1) stochastic volatility of fundamental variables, or ...
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