| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w11841 |
| 来源ID | Working Paper 11841 |
| The Myth of Long-Horizon Predictability | |
| Jacob Boudoukh; Matthew Richardson; Robert Whitelaw | |
| 发表日期 | 2005-12-12 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost perfectly correlated across horizons under the null hypothesis of no predictability. For example, for the persistence levels of dividend yields, the analytical correlation is 99% between the 1- and 2-year horizon estimators and 94% between the 1- and 5-year horizons, due to the combined effects of overlapping returns and the persistence of the predictive variable. Common sampling error across equations leads to ordinary least squares coefficient estimates and R2s that are roughly proportional to the horizon under the null hypothesis. This is the precise pattern found in the data. The asymptotic theory is corroborated, and the analysis extended by extensive simulation evidence. We perform joint tests across horizons for a variety of explanatory variables, and provide an alternative view of the existing evidence. |
| 主题 | Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Econometrics ; Estimation Methods |
| URL | https://www.nber.org/papers/w11841 |
| 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/569492 |
| 推荐引用方式 GB/T 7714 | Jacob Boudoukh,Matthew Richardson,Robert Whitelaw. The Myth of Long-Horizon Predictability. 2005. |
| 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 | ||
| w11841.pdf（340KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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