| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5779 |
| DP5779 Parallel Imports and Price Controls | |
| Gene Grossman; Edwin Lai | |
| 发表日期 | 2006-08-03 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | There is widespread evidence of excess return predictability in financial markets. In this paper we examine whether this predictability is related to expectational errors. To consider this issue, we use data on survey expectations of market participants in the stock market, the foreign exchange market, and the bond and money markets in various countries. We find that the predictability of expectational errors coincides with the predictability of excess returns: when a variable predicts expectational errors in a given market, it typically predicts the excess return as well. Understanding expectational errors appears crucial for explaining excess return predictability. |
| 主题 | Financial Economics ; International Macroeconomics |
| 关键词 | Excess returns Expectations survey Predictability |
| URL | https://cepr.org/publications/dp5779 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534617 |
| 推荐引用方式 GB/T 7714 | Gene Grossman,Edwin Lai. DP5779 Parallel Imports and Price Controls. 2006. |
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