| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w14571 |
| 来源ID | Working Paper 14571 |
| Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole | |
| Miguel A. Ferreira; Pedro Santa-Clara | |
| 发表日期 | 2008-12-11 |
| 出版年 | 2008 |
| 语种 | 英语 |
| 摘要 | We propose forecasting separately the three components of stock market returns: dividend yield, earnings growth, and price-earnings ratio growth. We obtain out-of-sample R-square coefficients (relative to the historical mean) of nearly 1.6% with monthly data and 16.7% with yearly data using the most common predictors suggested in the literature. This compares with typically negative R-squares obtained in a similar experiment by Goyal and Welch (2008). An investor who timed the market with our approach would have had a certainty equivalent gain of as much as 2.3% per year and a Sharpe ratio 77% higher relative to the historical mean. We conclude that there is substantial predictability in equity returns and that it would have been possible to time the market in real time. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w14571 |
| 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/572245 |
| 推荐引用方式 GB/T 7714 | Miguel A. Ferreira,Pedro Santa-Clara. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole. 2008. |
| 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 | ||
| w14571.pdf（403KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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