Should investors learn about the timing of equity risk?

The term structure of equity risk has been shown to be downward sloping. We capture this feature using return dynamics driven by both a transitory and a permanent component. We study the asset allocation and portfolio performance when transitory and permanent components cannot be observed and theref...

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Veröffentlicht in:	Journal of financial economics 2019-06, Vol.132 (3), p.182-204
Hauptverfasser:	Hasler, Michael, Khapko, Mariana, Marfè, Roberto
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset allocation Equity Investors Learning Long-term risks Portfolio choice Portfolio management Portfolio performance Risk assessment Short-term risks
Online-Zugang:	Volltext
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