Return Predictability under Equilibrium Constraints on the Equity Premium

نویسندگان
چکیده

برای دانلود باید عضویت طلایی داشته باشید

برای دانلود متن کامل این مقاله و بیش از 32 میلیون مقاله دیگر ابتدا ثبت نام کنید

اگر عضو سایت هستید لطفا وارد حساب کاربری خود شوید

منابع مشابه

On Nonlinear Modeling for the Predictability of Equity Return

Non-stationary time series are commonly found in nancial applications. Added to the complexity are the time-varying nature and non-linearity of accurate models for describing the dynamic behavior of these nancial time series. We extend the techniques of cointegration to handle time-varying, non-linear relationship betw een a time series (\news") and its causally a ected time series. The predict...

متن کامل

Return Predictability under Knightian Uncertainty

The predictability of stock and bond excess returns is investigated from an investment perspective in the presence of Knightian uncertainty. Uncertainty about the return distribution is formalized with the maxmin expected utility approach of Gilboa and Schmeidler (1989). It is analyzed how risk and uncertainty aversion di¤er in their e¤ects on optimal portfolio choice. Most importantly, it is s...

متن کامل

International Stock Return Predictability under Model Uncertainty

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...

متن کامل

International stock return predictability under model uncertainty

This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive international dataset, we find that interest-rate related variables are usually among the most prominent predict...

متن کامل

Estimating the Equity Premium

To estimate the equity premium, it is helpful to use finance theory: not the old-fashioned theory that efficient markets imply a constant equity premium, but theory that restricts the time-series behavior of valuation ratios, and that links the cross-section of stock prices to the level of the equity premium. Under plausible conditions, valuation ratios such as the dividend-price ratio should n...

متن کامل

ذخیره 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: SSRN Electronic Journal

سال: 2008

ISSN: 1556-5068

DOI: 10.2139/ssrn.1098471