| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP6123 |
| DP6123 Identity, Dignity and Taboos: Beliefs as Assets | |
| Jean Tirole; Roland Benabou | |
| 发表日期 | 2007-02-14 |
| 出版年 | 2007 |
| 语种 | 英语 |
| 摘要 | The standard regression approach to modeling return predictability seems too restrictive in one way but too lax in another. A predictive regression models expected returns as an exact linear function of a given set of predictors but does not exploit the likely economic property that innovations in expected returns are negatively correlated with unexpected returns. We develop an alternative framework---a predictive system---that accommodates imperfect predictors and beliefs about that negative correlation. In this framework, the predictive ability of imperfect predictors is supplemented by information in lagged returns as well as lags of the predictors. Compared to predictive regressions, predictive systems deliver different and substantially more precise estimates of expected returns as well as different assessments of a given predictor's usefulness. |
| 主题 | Financial Economics |
| 关键词 | Expected stock return Predictability Predictive regression Predictive system State space model |
| URL | https://cepr.org/publications/dp6123 |
| 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/534961 |
| 推荐引用方式 GB/T 7714 | Jean Tirole,Roland Benabou. DP6123 Identity, Dignity and Taboos: Beliefs as Assets. 2007. |
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