The horizon effect of stock return predictability and model\ud uncertainty on portfolio choice: UK evidence

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Li, Guangjie; Cardiff University;
  • Publisher: Cardiff University
  • Subject: HB

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 ... View more
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