Time-varying predictability of the long horizon equity premium based on semiparametric regressions

被引：3

作者：

Yu, Deshui ^{[1
]}

Chen, Li ^{[2
,3
,4
,6
]}

Li, Luyang ^{[5
]}

机构：

[1] Hunan Univ, Coll Finance & Stat, Dept Financial Engn, Changsha, Peoples R China

[2] Xiamen Univ, Wang Yanan Inst Studies Econ, Xiamen, Peoples R China

[3] Xiamen Univ, Sch Econ, Dept Finance, Xiamen, Peoples R China

[4] Xiamen Univ, MOE Key Lab Econometr, Xiamen, Peoples R China

[5] Monash Univ, Monash Business Sch, Dept Econ, Clayton, Australia

[6] Xiamen Univ, Econ Bldg,422 Siming South Rd, Xiamen 361005, Fujian, Peoples R China

来源：

ECONOMICS LETTERS | 2023年 / 224卷

基金：

中国国家自然科学基金;

关键词：

Long -horizon stock return; Time -varying coefficient; Profile estimation; Present -value model; PREDICTIVE REGRESSIONS; RETURN;

D O I：

10.1016/j.econlet.2023.111033

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

This paper proposes a novel semiparametric model for long-horizon predictive regressions, in which the coefficients are allowed to be unknown functions of time. We pursue an indirect approach to estimate the long-horizon coefficients through the implication of the short-horizon coefficients. Empirically, the dividend-price ratio predicts either stock returns or dividend growth, or both in any local period. In comparison, dividend growth is less predictable than stock returns. (c) 2023 Elsevier B.V. All rights reserved.

引用

页数：6

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