How much stock return predictability can we expect from an asset pricing model?

被引：22

作者：

Zhou, Guofu ^{[1
]}

机构：

[1] Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA

来源：

ECONOMICS LETTERS | 2010年 / 108卷 / 02期

关键词：

Predictive regression; R-squared; Forecasting stock return; EQUITY PREMIUM PREDICTION; SAMPLE;

D O I：

10.1016/j.econlet.2010.05.008

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We provide a new upper bound on the R-squared of a predictive regression of stock returns on predictable variables, tightening substantially Ross's (2005) bound. An empirical application illustrates that while Ross's bound is not binding, our bound does. (C) 2010 Elsevier B.V. All rights reserved.

引用

页码：184 / 186

页数：3

共 12 条

[1] Commodity futures return predictability and intertemporal asset pricing
Cotter, John
Eyiah-Donkor, Emmanuel
Poti, Valerio
JOURNAL OF COMMODITY MARKETS, 2023, 31
[2] Stock return predictability from a mixed model perspective
Dai, Zhifeng
Zhu, Huan
PACIFIC-BASIN FINANCE JOURNAL, 2020, 60
[3] What can we learn from the return predictability over the business cycle?
Liu, Li
Pan, Zhiyuan
Wang, Yudong
JOURNAL OF FORECASTING, 2021, 40 (01) : 108 - 131
[4] Return Predictability and Dynamic Asset Allocation: How Often Should Investors Rebalance?
Almadi, Himanshu
Rapach, David E.
Suri, Anil
JOURNAL OF PORTFOLIO MANAGEMENT, 2014, 40 (04) : 16 - +
[5] A new GARCH model with higher moments for stock return predictability
Narayan, Paresh Kumar
Liu, Ruipeng
JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2018, 56 : 93 - 103
[6] Intraday momentum and stock return predictability: Evidence from China
Zhang, Yaojie
Ma, Feng
Zhu, Bo
ECONOMIC MODELLING, 2019, 76 : 319 - 329
[7] International stock return predictability: Evidence from new statistical tests
Charles, Amelie
Darne, Olivier
Kim, Jae H.
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2017, 54 : 97 - 113
[8] Optimal asset allocation and nonlinear return predictability from the dividend-price ratio
Ghezzi, Fabrizio
Sarkar, Anindo
Pedersen, Thomas Quistgaard
Timmermann, Allan
ANNALS OF OPERATIONS RESEARCH, 2025, 346 (01) : 415 - 445
[9] Re-assessing international stock return predictability: evidence from directional accuracy and excess profitability tests
Siliverstovs, Boriss
APPLIED ECONOMICS LETTERS, 2017, 24 (01) : 1 - 3
[10] Stock return distribution and predictability: Evidence from over a century of daily data on the DJIA index
Gebka, Bartosz
Wohar, Mark E.
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2019, 60 : 1 - 25

← 1 2 →