| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16263 |
| 来源ID | Working Paper 16263 |
| Predictive Regressions: A Present-value Approach | |
| Jules H. van Binsbergen; Ralph S.J. Koijen | |
| 发表日期 | 2010-08-12 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | We propose a latent variables approach within a present-value model to estimate the expected returns and expected dividend growth rates of the aggregate stock market. This approach aggregates information contained in the history of price-dividend ratios and dividend growth rates to predict future returns and dividend growth rates. We find that returns and dividend growth rates are predictable with R-squared values ranging from 8.2% to 8.9% for returns and 13.9% to 31.6% for dividend growth rates. Both expected returns and expected dividend growth rates have a persistent component, but expected returns are more persistent than expected dividend growth rates. |
| 主题 | Econometrics ; Estimation Methods ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets |
| URL | https://www.nber.org/papers/w16263 |
| 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/573937 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Ralph S.J. Koijen. Predictive Regressions: A Present-value Approach. 2010. |
| 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 | ||
| w16263.pdf（347KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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