| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w4997 |
| 来源ID | Working Paper 4997 |
| On the Predictability of Stock Returns: An Asset-Allocation Perspective | |
| Shmuel Kandel; Robert F. Stambaugh | |
| 发表日期 | 1995 |
| 出版年 | 1995 |
| 语种 | 英语 |
| 摘要 | The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w4997 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/562421 |
| 推荐引用方式 GB/T 7714 | Shmuel Kandel,Robert F. Stambaugh. On the Predictability of Stock Returns: An Asset-Allocation Perspective. 1995. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w4997.pdf（1202KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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