August 2007
Intermediate to advanced
304 pages
12h 22m
English
Content preview from Forecasting Expected Returns in the Financial Markets
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2 Forecasting Expected Returns in the Financial Markets
capital market. The return is written as R =ER+u, where is the information at the
beginning of the period and
u is the unexpected return. Since Eu = 0, the unexpected
return cannot be predicted ahead of time. Thus, predictability, in the ‘efficient markets’
view, rests on systematic variation through time in the expected return. Modelling and
testing for this variation is the focus of the conditional
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