Abstract
Abstract: In this paper we present the evidence that the small stock premium is predictable both in-sample and out-of-sample using a set of lagged macroeconomic variables. It is possible to forecast the size premium over horizons from one month to one year. We ...
Author supplied keywords
Cite
CITATION STYLE
APA
Zakamulin, V. (2011). Predicting the Small Stock Premium Over Different Horizons : What Do We Learn About Its Source ? ∗. October, (1), 1–41.
Register to see more suggestions
Mendeley helps you to discover research relevant for your work.
Already have an account? Sign in
Sign up for free