Comovement and return predictability in asset markets: An experiment with two Lucas trees
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DOI: 10.1016/j.jebo.2021.03.012
Abstract: Abstract Using a laboratory experiment, we investigate whether comovement can emerge between two risky assets, despite their fundamentals not being correlated. The ‘Two trees’ asset pricing model developed by Cochrane et al. (2007) guides our experimental… read more here.
Keywords: asset; predictability asset; return predictability; comovement return ... See more keywords