From the University of Washington and NBER, and the University of Alabama, respectively. We are grateful to John Campbell for providing us with the data set assembled by him and Robert Shiller. Helpful comments from Stephen Cecchetti, Gregory Chow, Tim Cogley, Robert Engle, Benjamin Friedman, Robert Hodrick, Bruce Lehmann, Andrew Lo, Richard Parks, Pierre Perron, G. William Schwert, Robert Stambaugh, Richard Startz, René Stulz (the editor), Stephen Turnovsky, Kenneth West, anonymous referees, and participants in seminars at the Federal Reserve Board, the NBER, Northwestern University, Ohio State University, Princeton University, Southern Methodist University, the University of California at Santa Barbara, and the University of Oregon are acknowledged with thanks, but responsibility for any errors is entirely the authors'.
Predictable Stock Returns: The Role of Small Sample Bias
Version of Record online: 30 APR 2012
© 1993 the American Finance Association
The Journal of Finance
Volume 48, Issue 2, pages 641–661, June 1993
How to Cite
NELSON, C. R. and KIM, M. J. (1993), Predictable Stock Returns: The Role of Small Sample Bias. The Journal of Finance, 48: 641–661. doi: 10.1111/j.1540-6261.1993.tb04731.x
- Issue online: 30 APR 2012
- Version of Record online: 30 APR 2012
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