Persistence of Information Shocks on State Variables and Time-varying Stock Expected Returns

Korean Journal of Financial Studies 2002;31(1):395-423.
Published online September 30, 2002.

상태변수의 변동이 주식기대수익률에 미치는 영향의 지속성

박종원

Key Words: 상태변수,주가변동,주식기대수익률,지속성,VAR모형

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