1 option
Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets / Geert Bekaert, Robert J. Hodrick.
- Format:
- Book
- Author/Creator:
- Bekaert, Geert.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w3790.
- NBER working paper series no. w3790
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 1991.
- Summary:
- The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied long-horizon statistics. We estimate latent variable models as constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility bounds on intertemporal marginal rates of substitution.
- Notes:
- Print version record
- July 1991.
The Penn Libraries is committed to describing library materials using current, accurate, and responsible language. If you discover outdated or inaccurate language, please fill out this feedback form to report it and suggest alternative language.