| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5383 |
| DP5383 Sugar Prices, Labour Income and Poverty in Brazil | |
| Marcelo Olarreaga; Ekaterina Krivonos | |
| 发表日期 | 2005-11-22 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Evidence of stock return predictability by financial ratios is still controversial as documented by inconsistent results for in-sample and out-of-sample regressions as well as substantial parameter instability. This paper shows that these seemingly incompatible results can be reconciled if the assumption of a fixed steady state mean of the economy is relaxed. We find strong empirical evidence in support of shifts in the steady state and propose simple methods to adjust financial ratios for such shifts. The forecasting relationship of adjusted price ratios and future returns is statistically significant, stable over time and present in out-of-sample tests. We also show that shifts in the steady state are responsible for parameter instability and poor out-of-sample performance of unadjusted price ratios that is found in the data. Our conclusions hold for a variety of financial ratios and are robust to changes in the econometric technique used to estimate shifts in the steady state. |
| 主题 | Financial Economics |
| 关键词 | Predictibility Stock returns Dividend price ratio Price ratios Out-of-sample test |
| URL | https://cepr.org/publications/dp5383 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534232 |
| 推荐引用方式 GB/T 7714 | Marcelo Olarreaga,Ekaterina Krivonos. DP5383 Sugar Prices, Labour Income and Poverty in Brazil. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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