Internet Appendix to 'Model Uncertainty and Expected Return Proxies'

296 Pages Posted: 7 Dec 2013

See all articles by Christoph Jäckel

Christoph Jäckel

Technische Universität München (TUM)

Date Written: December 5, 2013

Abstract

This internet appendix provides simulation results that compare the Bayesian model averaging approach (BMA) with alternative proxy selection approaches. For more information, refer to the main paper.

The paper "Model Uncertainty and Expected Return Proxies'" to which these Appendices apply is available at the following URL: http://ssrn.com/abstract=2364021

Keywords: Time-varying expected returns, implied cost of capital, asset pricing, model averaging, model selection

JEL Classification: G12, C11

Suggested Citation

Jäckel, Christoph, Internet Appendix to 'Model Uncertainty and Expected Return Proxies' (December 5, 2013). Available at SSRN: https://ssrn.com/abstract=2364016 or http://dx.doi.org/10.2139/ssrn.2364016

Christoph Jäckel (Contact Author)

Technische Universität München (TUM) ( email )

Arcisstrasse 21
Munich, 80333
Germany
+49 (0)89 289 25487 (Phone)

HOME PAGE: http://www.fm.wi.tum.de/en/team/researcher/91-christoph-jaeckel

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