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dc.contributor.authorBec, Frédériqueen_US
dc.contributor.authorGollier, Christianen_US
dc.date.accessioned2009-05-12en_US
dc.date.accessioned2009-07-28T08:49:37Z-
dc.date.available2009-07-28T08:49:37Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/26667-
dc.description.abstractThis paper explores French assets returns predictability within a VAR setup. Using quarterly data from 1970Q4 to 2006Q4, it turns out that bonds, equities and bills returns are actually predictable. This feature implies that the investment horizon does indeed matter in the asset allocation. The VAR parameters estimates are then used to compute real returns conditional volatility across investment horizons. The results reveal the same kind of horizon effect as the one found in recent empirical studies using quarterly U.S. data. More specifically, the excess annualized standard deviation of French stocks returns with respect to bills and bonds returns decreases as the investment horizon grows. They suggest that long-horizon investors overstate the share of bonds in their portfolio choice when neglecting the horizon effect on risk of asset returns predictability.en_US
dc.language.isoengen_US
dc.publisherCESifo Münchenen_US
dc.relation.ispartofseriesCESifo working paper 2622en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordasset return predictabilityen_US
dc.subject.keywordinvestment horizonen_US
dc.subject.keywordvector autoregressionen_US
dc.subject.stwKapitalertragen_US
dc.subject.stwPrognoseen_US
dc.subject.stwInstitutioneller Anlegeren_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwVAR-Modellen_US
dc.subject.stwSchätzungen_US
dc.subject.stwFrankreichen_US
dc.titleAssets returns volatility and investment horizon: the french caseen_US
dc.typeWorking Paperen_US
dc.identifier.ppn599570202en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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