Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement / Robert J. Hodrick.

Format:

Book

Author/Creator:

Hodrick, Robert J.

Contributor:

National Bureau of Economic Research.

Series:

Technical Working Paper Series (National Bureau of Economic Research) no. t0108.

NBER technical working paper series no. t0108

Language:

English

Subjects (All):

Dividends--Mathematical models.

Dividends.

Stocks--Prices--Mathematical models.

Stocks.

Physical Description:

1 online resource: illustrations (black and white);

Other Title:

Dividend Yields and Expected Stock Returns

Place of Publication:

Cambridge, Mass. National Bureau of Economic Research 1991.

Cambridge, Mass. : National Bureau of Economic Research, 1991.

Summary:

Alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns. Monte Carlo analysis indicates that the Hansen and Hodrick (1980) procedure is biased at long horizons, but the alternatives perform better. These include an estimator derived under the null hypothesis as in Richardson and Smith (1989), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) as in Campbell and Shiller (1988), Kandel and Stambaugh (1988), and Campbell (1991). The statistical properties of long-horizon statistics generated from the VAR indicate interesting patterns in expected stock returns.

Notes:

Print version record

July 1991.