G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w3297
来源IDWorking Paper 3297
Predictable Stock Returns: Reality or Statistical Illusion?
Charles R. Nelson; Myung J. Kim
发表日期1990-03-01
出版年1990
语种英语
摘要Recent research suggests that stock returns are predictable from fundamentals such as dividend yield, and that the degree of predictability rises with the length of the horizon over which return is measured. This paper investigates the magnitude of two sources of small simple bias in these results. First, it is a standard result in econometrics that regression on the lagged value of the dependent variable is biased in finite samples. Since a fundamental such as the price/dividend ratio is a statistical proxy for lagged price, predictive regressions are potentially subject to a corresponding small sample bias. This may create the illusion that one can buy low and sell high in the sample even if the relationship is useless for forecasting. Second, multiperiod returns are positively autocorrelated by construction, raising the possibility of spurious regression. Standard errors which are computed from the asymptotic formula may not be large enough in small samples. A set of Monte Carlo experiments are presented in which data are generated by a version of the present value model in which the discount rate is constant so returns are not in fact predictable. We show that a number of the characteristica of the historical results can be replicated simply by the combined effects of the two small sample biases.
主题Macroeconomics
URLhttps://www.nber.org/papers/w3297
来源智库National Bureau of Economic Research (United States)
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资源类型智库出版物
条目标识符http://119.78.100.153/handle/2XGU8XDN/560585
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GB/T 7714
Charles R. Nelson,Myung J. Kim. Predictable Stock Returns: Reality or Statistical Illusion?. 1990.
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