Supplementary Material for 'Asset Pricing Restrictions on Predictability: Frictions Matter'

8 Pages Posted: 20 Feb 2011 Last revised: 19 Nov 2011

See all articles by Frans de Roon

Frans de Roon

Tilburg University - Department of Finance

Marta Szymanowska

Erasmus University Rotterdam (EUR) - Department of Finance; Erasmus Research Institute of Management (ERIM)

Date Written: November 11, 2011

Abstract

This note contains supplementary material for "Asset Pricing Restrictions on Predictability: Frictions Matter."

Keywords: Out-of-Sample Predictability, Asset Pricing Tests, Market Frictions

JEL Classification: G12, G17

Suggested Citation

de Roon, Frans A. and Szymanowska, Marta, Supplementary Material for 'Asset Pricing Restrictions on Predictability: Frictions Matter' (November 11, 2011). Available at SSRN: https://ssrn.com/abstract=1764328 or http://dx.doi.org/10.2139/ssrn.1764328

Frans A. De Roon

Tilburg University - Department of Finance ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands
+31 1 3466 8361/3025 (Phone)
+31 1 3466 2875 (Fax)

Marta Szymanowska (Contact Author)

Erasmus University Rotterdam (EUR) - Department of Finance ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands
+31104089607 (Phone)

HOME PAGE: http://www.rsm.nl/mszymanowska

Erasmus Research Institute of Management (ERIM) ( email )

P.O. Box 1738
3000 DR Rotterdam
Netherlands

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