| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12885 |
| DP12885 Pockets of Predictability | |
| Henry Allan Timmermann | |
| 发表日期 | 2018-04-22 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 摘要 | Return predictability in the U.S. stock market is local in time as short periods with significant predictability (`pockets') are interspersed with long periods with little or no evidence of return predictability. We document this empirically using a flexible non-parametric approach and explore possible explanations of this finding, including time-varying risk premia. We find that short-lived predictability pockets are inconsistent with a broad class of affine asset pricing models. Conversely, pockets of return predictability are more in line with a model with investors' incomplete learning about a highly persistent growth component in the underlying cash flow process which undergoes occasional regime shifts. |
| 主题 | Financial Economics |
| 关键词 | Predictability of stock returns Incomplete learning Markov switching predictive systems Cash flows Affine asset pricing models |
| URL | https://cepr.org/publications/dp12885 |
| 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/541696 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann. DP12885 Pockets of Predictability. 2018. |
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