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University of Cambridge > Talks.cam > Cambridge Finance Workshop Series > On the Long Run Volatility of Stocks
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If you have a question about this talk, please contact Cerf Admin. In this paper we investigate whether or not the conventional wisdom that stocks are more attractive for long horizon investors hold. Taking the perspective of an investor, we evaluate the predictive variance of k-period returns for different models and prior specifications and conclude, that stocks are indeed less volatile in the long run. Part of the developments include an extension of the modeling framework to incorporate time varying volatilities and covariances in a constrained prior information set up. This talk is part of the Cambridge Finance Workshop Series series. This talk is included in these lists:
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