| 来源类型 | Working Paper
|
| 规范类型 | 报告
|
| DOI | 10.3386/w8666
|
| 来源ID | Working Paper 8666
|
| Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield |
| Jay Shanken; Ane Tamayo
|
| 发表日期 | 2001-12-13
|
| 出版年 | 2001
|
| 语种 | 英语
|
| 摘要 | In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor's initial beliefs about the sources of return predictability. Although results vary with the subperiod examined, different views on the relative importance of these factors can have important implications for asset allocation between a stock index and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield-related return predictability observed. |
| 主题 | Econometrics
; Estimation Methods
; Financial Economics
; Portfolio Selection and Asset Pricing
|
| URL | https://www.nber.org/papers/w8666
|
| 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/566273
|
推荐引用方式
GB/T 7714 |
Jay Shanken,Ane Tamayo. Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield. 2001.
|
|
文件名：
|
w8666.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
