Browsing Institutt for samfunnsøkonomi by Journals "International Review of Financial Analysis"
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Expected long-term rates of return when short-term returns are serially correlated
(Peer reviewed; Journal article, 2023)When short-term returns are serially uncorrelated, expected long-term and short-term returns are equal. However, we show that negative serial correlation among the short-term returns make the expected long-term returns ...