Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/65781
Authors: 
Li, Guangjie
Year of Publication: 
2009
Series/Report no.: 
Cardiff Economics Working Papers E2009/4
Abstract: 
We study how stock return's predictability and model uncertainty affect a rational buy-and-hold investor's decision to allocate her wealth for different lengths of investment horizons in the UK market. We consider the FTSE All-Share Index as the risky asset, and the UK Treasury bill as the risk free asset in forming the investor's portfolio. We identify the most powerful predictors of the stock return by accounting for model uncertainty. We find that though stock return predictability is weak, it can still affect the invesor's optimal portfolio decision over different investment horizons.
Subjects: 
stock return predictability
portfolio choice
Bayesian Model Averaging
SUR model
JEL: 
C11
G11
G15
Document Type: 
Working Paper

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