منابع مشابه
Time Variation in Expected Returns and Aggregate Asset Growth
Aggregate asset growth rst di¤erences of the logarithm of household net worth can capture time variation in changes in expected returns in quarterly and annual horizons in which stock returns have virtually zero autocorrelations. Regressions of changes in stock returns on aggregate asset growth provide stable estimates of slope coe¢ cients over time, which improve out-of-sample predictabilit...
متن کاملHabit persistence: Explaining cross-sectional variation in returns and time-varying expected returns ¬リニ
Article history: Received 15 May 2007 Received in revised form 26 January 2009 Accepted 28 January 2009 Available online 6 February 2009 This paper uses an iterated GMM approach to estimate and test the consumption based habit persistence model of Campbell and Cochrane [Campbell, J.Y., Cochrane, J.H., 1999. By force of habit: A consumption-based explanation of aggregate stockmarket behavior. Jo...
متن کاملExpected Returns Across Time Scales
This paper studies the role of uctuations in the aggregate price-earning ratio at di¤erent time scales for predicting stock returns and explore the channels through which returns are predicted. Using U.S. quarterly and international monthly data, we nd that cycles in the price-earning ratio are strong and better predictors of future returns at short and intermediate horizons than the aggregat...
متن کاملExpectations of Returns and Expected Returns
We analyze time series of investor expectations of future stock market returns from six data sources between 1963 and 2011. The six measures of expectations are highly positively correlated with each other, as well as with past stock returns and with the level of the stock market. However, investor expectations are strongly negatively correlated with model-based expected returns. The evidence i...
متن کاملValue versus Growth: Time-Varying Expected Stock Returns
Is the value premium predictable? We study time variations of the expected value premium using a two-state Markov switching model. We find that when conditional volatilities are high, the expected excess returns of value stocks are more sensitive to aggregate economic conditions than the expected excess returns of growth stocks. As a result, the expected value premium is time varying. It spikes...
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ژورنال
عنوان ژورنال: The Journal of Business
سال: 1988
ISSN: 0021-9398,1537-5374
DOI: 10.1086/296441