On the properties of regression test of stock returns predictability using dividend-price ratios
Year of publication: |
2014
|
---|---|
Authors: | Moon, Seongman ; Velasco, Carlos |
Published in: |
Journal of financial econometrics : official journal of the Society for Financial Econometrics. - Oxford : Univ. Press, ISSN 1479-8409, ZDB-ID 2160581-6. - Vol. 12.2014, 1, p. 151-173
|
Subject: | conditional test | local-to-unity assumption | predictive regression | present value model | Q-test | t-test | Schätzung | Estimation | Prognoseverfahren | Forecasting model | Kapitaleinkommen | Capital income | Börsenkurs | Share price | Regressionsanalyse | Regression analysis | Aktienmarkt | Stock market | Schätztheorie | Estimation theory | Statistischer Test | Statistical test | Dividende | Dividend |
-
Testing for episodic predictability in stock returns
Demetrescu, Matei, (2022)
-
Nonparametric predictive regression
Kasparis, Ioannis, (2015)
-
Testing for predictability in panels of any time series dimension
Westerlund, Joakim, (2016)
- More ...
-
Delayed overshooting : it’s an 80s puzzle
Kim, Seonghoon, (2014)
-
Tests for m-dependence based on sample splitting methods
Moon, Seongman, (2013)
-
The Forward Discount Puzzle : Identification of Economic Assumptions
Moon, Seongman, (2011)
- More ...