Asymmetric loss functions and the rationality of expected stock returns
نویسندگان
چکیده
منابع مشابه
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The demand for durable goods is more cyclical than that for nondurable goods and services. Consequently, the cash flow and stock returns of durable-good producers are exposed to higher systematic risk. Using the benchmark input-output accounts of the National Income and Product Accounts, we construct portfolios of durablegood, nondurable-good, and service producers. In the cross-section, an inv...
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ژورنال
عنوان ژورنال: International Journal of Forecasting
سال: 2011
ISSN: 0169-2070
DOI: 10.1016/j.ijforecast.2009.10.008