| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w10406 |
| 来源ID | Working Paper 10406 |
| New Forecasts of the Equity Premium | |
| Christopher Polk; Samuel Thompson; Tuomo Vuolteenaho | |
| 发表日期 | 2004-04-05 |
| 出版年 | 2004 |
| 语种 | 英语 |
| 摘要 | If investors are myopic mean-variance optimizers, a stock's expected return is linearly related to its beta in the cross section. The slope of the relation is the cross-sectional price of risk, which should equal the expected equity premium. We use this simple observation to forecast the equity-premium time series with the cross-sectional price of risk. We also introduce novel statistical methods for testing stock-return predictability based on endogenous variables whose shocks are potentially correlated with return shocks. Our empirical tests show that the cross-sectional price of risk (1) is strongly correlated with the market's yield measures and (2) predicts equity-premium realizations especially in the first half of our 1927-2002 sample. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w10406 |
| 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/568035 |
| 推荐引用方式 GB/T 7714 | Christopher Polk,Samuel Thompson,Tuomo Vuolteenaho. New Forecasts of the Equity Premium. 2004. |
| 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 | ||
| w10406.pdf（594KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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