| アイテムタイプ |
デフォルトアイテムタイプ（フル）その２(1) |
| 公開日 |
2017-05-20 |
| タイトル |
|
|
タイトル |
Subsampling-Based Tests of Stock-Return Predictability |
|
言語 |
en |
| 作成者 |
Choi, In
Chue, Timothy K.
|
| 寄与者 |
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|
寄与者タイプ |
Editor |
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|
姓名 |
社会科学における統計分析拠点構築 = Research Unit for Statistical Analysis in Social Sciences |
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言語 |
en |
| アクセス権 |
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|
アクセス権 |
open access |
|
アクセス権URI |
http://purl.org/coar/access_right/c_abf2 |
| 主題 |
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|
主題Scheme |
Other |
|
主題 |
Subsampling |
| 主題 |
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|
主題Scheme |
Other |
|
主題 |
local-to-unit roots |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
predictive regression |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
stock-return predictability |
| 主題 |
|
|
主題Scheme |
Other |
|
主題 |
consumption-based models |
| 内容記述 |
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|
内容記述タイプ |
Other |
|
内容記述 |
First Draft: March 2006; This Draft: June 2006 |
|
言語 |
en |
| 内容記述 |
|
|
内容記述タイプ |
Abstract |
|
内容記述 |
We develop subsampling-based tests of stock-return predictability and apply them to U.S. data. These tests allow for multiple predictor variables with local-to-unit roots. By contrast, previous methods that model the predictor variables as nearly integrated are only applicable to univariate predictive regressions. Simulation results demonstrate that our subsampling-based tests have desirable size and power properties. Using stock-market valuation ratios and the risk-free rate as predictors, our univariate tests show that the evidence of predictability is more concentrated in the 1926-1994 subperiod. In bivariate tests, we find support for predictability in the full sample period 1926-2004 and the 1952-2004 subperiod as well. For the subperiod 1952-2004, we also consider a number of consumption-based variables as predictors for stock returns and find that they tend to perform better than the dividend-price ratio. Among the variables we consider, the predictive power of the consumption-wealth ratio proposed by Lettau and Ludvigson (2001a, 2001b) seems to be the most robust. Among variables based on habit persistence, Campbell and Cochrane's (1999) nonlinear specication tends to outperform a more traditional, linear specification. |
| 出版者 |
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|
出版者 |
Institute of Economic Research, Hitotsubashi University |
| 日付 |
|
|
日付 |
2006-07 |
|
日付タイプ |
Issued |
| 言語 |
|
|
言語 |
eng |
| 資源タイプ |
|
|
資源タイプ識別子 |
http://purl.org/coar/resource_type/c_18gh |
|
資源タイプ |
technical report |
| 出版タイプ |
|
|
出版タイプ |
VoR |
|
出版タイプResource |
http://purl.org/coar/version/c_970fb48d4fbd8a85 |
| 関連情報 |
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|
関連タイプ |
isPartOf |
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|
関連名称 |
Hi-Stat Discussion paper series ; No. d06-178 |
| 関連情報 |
|
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|
識別子タイプ |
URI |
|
|
関連識別子 |
http://21coe.ier.hit-u.ac.jp/english/index.html |
| ページ数 |
|
|
ページ数 |
46 |
| Sponsorship |
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|
値 |
21世紀COEプログラム = 21st-Century COE Program |
D06-178.pdf (420448 bytes)
