A Variance Decomposition for Stock Returns
نویسندگان
چکیده
منابع مشابه
A Variance Decomposition for Stock Returns
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the va...
متن کاملA Variance Decomposition for Stock Returns
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the va...
متن کاملA Variance Decomposition for Stock Returns
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of unexpected returns is attributed to the variance of changing expected dividends, one-third to the va...
متن کاملA Bayesian Analysis of a Variance Decomposition for Stock Returns∗
A Bayesian Analysis of a Variance Decomposition for Stock Returns We apply Bayesian methods to study a common VAR-based approach for decomposing the variance of excess stock returns into components reflecting news about future excess stock returns, future real interest rates, and future dividends. We develop a new prior elicitation strategy which involves expressing beliefs about the components...
متن کاملDo Stock Returns Follow a Finite Variance Distribution?
In this paper we propose a test statistic to discriminate between models with finite variance and models with infinite variance. The test statistic is the ratio of the sample standard deviation and the sample interquartile range. Both asymptotic and finite sample properties of the test statistic are discussed. We show that the test has good power properties against infinite-variance distributio...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Economic Journal
سال: 1991
ISSN: 0013-0133
DOI: 10.2307/2233809