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dc.contributor.authorRambaccussing, Dooruj
dc.date.accessioned2015-08-06T15:39:09Z
dc.date.available2015-08-06T15:39:09Z
dc.date.issued2015-02
dc.identifier.urihttp://hdl.handle.net/10943/690
dc.description.abstractOne of the cornerstone of financial anomalies is that there exists money making opportunities. Shiller’s excess volatility theory is re-investigated from the perspective of a trading strategy where the present value is computed using a series of simple econometric models to forecast the present value. The results show that the excess volatility may not be exploited given the data available until time t. However, when learning is introduced empirically, the simple trading strategy may offer profits, but which are likely to disappear once transaction costs are considered.en
dc.language.isoenen
dc.publisherUniversity of Dundeeen
dc.relation.ispartofseriesSIRE DISCUSSION PAPER;SIRE-DP-2015-82
dc.subjectPresent Valueen
dc.subjectExcess Volatilityen
dc.titleRevisiting Shiller’s excess volatility hypothesisen
dc.typeWorking Paperen


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