Abstract
A stock return rt+1 is said to be predictable by some variable xt if the expected return conditional on xt, E[rt+1 | xt], is different from the unconditional expected return, E[rt+1]. When stock returns are unpredictable, stock prices are said to follow a random walk.
Cite
CITATION STYLE
APA
van Nieuwerburgh, S., & Koijen, R. S. J. (2009). Financial Economics, Return Predictability and Market Efficiency. In Complex Systems in Finance and Econometrics (pp. 353–360). Springer New York. https://doi.org/10.1007/978-1-4419-7701-4_20
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