任意持续性下的预测回归与股票收益可预测性

Daniel D. Borup, B. Christensen, Yunus Emre Ergemen
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引用次数: 0

摘要

我们提出了一种分析股票收益可预测性的新方法,该方法适用于(i)任意预测因子持久性,(ii)具有共同因素的面板,(iii)多个预测因子,(iv)短期和长期分析,并依赖于适当调整的预测回归的最小二乘估计的标准推断。我们分析了美国和国际股票溢价,发现与股息和收益相关的价格比率在长期范围内具有可忽略不计的预测能力,而股息收益率在短期内具有相当大的预测能力,具有正系数,与现值理论一致。长期政府债券收益率在从一个月到5年的所有期限内都表现出预测能力。
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Predictive Regressions under Arbitrary Persistence and Stock Return Predictability
We present a novel approach to analyzing stock return predictability that accommodates (i) arbitrary predictor persistence, (ii) panels with common factors, (iii) multiple predictors, (iv) short- and long-horizon analysis, and relies on standard inference from least-squares estimation of a suitably adjusted predictive regression. We analyze US and international equity premia and find that dividend- and earnings-related price ratios have negligible predictive power over long horizons, whereas the dividend yield has considerable predictive power over short horizons, with positive coefficients, consistent with present value theory. Long-term government bond yields exhibit predictive power over all horizons from one month through five years.
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