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Last month I was browsing Google Scholar in search of some stylized facts regarding security returns and I found one that caught my eye in particular: that although security returns are not completely predictable, the absolute value of returns is quite predictable and therefore the uncertainty comes from the sign of returns.
Can anyone help me a scholarly source that confirms this? I can't find the source from then.
Can anyone help me a scholarly source that confirms this? I can't find the source from then.