Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/26667 
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dc.contributor.authorBec, Frédériqueen
dc.contributor.authorGollier, Christianen
dc.date.accessioned2009-05-12-
dc.date.accessioned2009-07-28T08:49:37Z-
dc.date.available2009-07-28T08:49:37Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aCenter for Economic Studies and ifo Institute (CESifo) |cMunichen
dc.relation.ispartofseries|aCESifo Working Paper |x2622en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordasset return predictabilityen
dc.subject.keywordinvestment horizonen
dc.subject.keywordvector autoregressionen
dc.subject.stwKapitalertragen
dc.subject.stwPrognoseen
dc.subject.stwInstitutioneller Anlegeren
dc.subject.stwPortfolio-Managementen
dc.subject.stwVAR-Modellen
dc.subject.stwSchätzungen
dc.subject.stwFrankreichen
dc.titleAssets returns volatility and investment horizon: the french case-
dc.typeWorking Paperen
dc.identifier.ppn599570202en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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