Realized Beta: Persistence and Predictability
نویسندگان
چکیده
منابع مشابه
The Persistence and Predictability of Closed-End Fund Discounts
It is well-known that the level of closed-end fund discounts appears to predict the corresponding fund’s future returns. We further document that such predictability decays slowly. The popular explanations, including the tax effect, investor sentiment risk, and the funds’s dividend yield, do not fully account for the observed predictability. At the same time, discounts are very persistent espec...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2004
ISSN: 1556-5068
DOI: 10.2139/ssrn.542802