Internet Appendix to 'Model Uncertainty and Expected Return Proxies'
296 Pages Posted: 7 Dec 2013
Date Written: December 5, 2013
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: Suggested Citation