Predictability and anomalies in equity and commodity markets

Björn Tharann
This thesis studies the predictability of stock and commodity returns. It also examines the sources of return anomalies in financial markets. Chapter 1 introduces the main concepts and delivers an overview of the subsequent chapters. Chapter 2 begins with the analysis of stock return predictability around the globe. By studying more than 80 countries for a sample period of up to 144 years, we conduct the most comprehensive analysis of equity premium predictability that thus...
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