Interpreting long-horizon estimates in predictive regressions

Finance Research Letters - Tập 5 - Trang 104-117 - 2008
Erik Hjalmarsson1
1Division of International Finance, Federal Reserve Board, Mail Stop 20, Washington, DC 20551, USA

Tài liệu tham khảo

Boudoukh, J., Richardson, M., Whitelaw, R.F., 2006. The myth of long-horizon predictability. Review of Financial Studies, in press Campbell, 2001, Why long horizons? A study of power against persistent alternatives, Journal of Empirical Finance, 8, 459, 10.1016/S0927-5398(01)00037-8 Campbell, 1988, Stock prices, earnings, and expected dividends, Journal of Finance, 43, 661, 10.2307/2328190 Campbell, 2006, Efficient tests of stock return predictability, Journal of Financial Economics, 81, 27, 10.1016/j.jfineco.2005.05.008 Cavanagh, 1995, Inference in models with nearly integrated regressors, Econometric Theory, 11, 1131, 10.1017/S0266466600009981 Cochrane, 2001 Fama, 1988, Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3, 10.1016/0304-405X(88)90020-7 Goetzman, 1993, Testing the predictive power of dividend yields, Journal of Finance, 48, 663, 10.2307/2328917 Hansen, 1980, Forward exchange rates as optimal predictors of future spot rates: An econometric analysis, Journal of Political Economy, 88, 829, 10.1086/260910 Hjalmarsson, E., 2007. Inference in long-horizon regressions. Working Paper, Federal Reserve Board Hodrick, 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies, 5, 357, 10.1093/rfs/5.3.357 Lanne, 2002, Testing the predictability of stock returns, Review of Economics and Statistics, 84, 407, 10.1162/003465302320259439 Kirby, 1997, Measuring the predictable variation in stock and bond returns, Review of Financial Studies, 10, 579, 10.1093/rfs/10.3.579 Nelson, 1993, Predictable stock returns: The role of small sample bias, Journal of Finance, 48, 641, 10.2307/2328916 Phillips, 1987, Towards a unified asymptotic theory of autoregression, Biometrika, 74, 535, 10.1093/biomet/74.3.535 Phillips, 1988, Regression theory for near-integrated time series, Econometrica, 56, 1021, 10.2307/1911357 Richardson, 1993, Temporary components of stock prices: A skeptic's view, Journal of Business and Economics Statistics, 11, 199, 10.2307/1391371 Richardson, 1991, Tests of financial models in the presence of overlapping observations, Review of Financial Studies, 4, 227, 10.1093/rfs/4.2.227 Richardson, 1994, A unified approach to testing for serial correlation in stock returns, Journal of Business, 67, 371, 10.1086/296638 Richardson, 1989, Drawing inferences from statistics based on multiyear asset returns, Journal of Financial Economics, 25, 323, 10.1016/0304-405X(89)90086-X Stambaugh, 1999, Predictive regressions, Journal of Financial Economics, 54, 375, 10.1016/S0304-405X(99)00041-0 Torous, 2004, On predicting stock returns with nearly integrated explanatory variables, Journal of Business, 77, 937, 10.1086/422634 Valkanov, 2003, Long-horizon regressions: Theoretical results and applications, Journal of Financial Economics, 68, 201, 10.1016/S0304-405X(03)00065-5