登入
選單
返回
Google圖書搜尋
Pockets of Predictability
Leland Farmer
Lawrence Schmidt
Allan Timmermann
出版
Centre for Economic Policy Research
, 2018
URL
http://books.google.com.hk/books?id=WT2StgEACAAJ&hl=&source=gbs_api
註釋
For many benchmark predictor variables, short-horizon return predictability in the U.S. stock market is local in time as short periods with significant predictability ('pockets') are interspersed with long periods with little or no evidence of return predictability. We document this result empirically using a flexible time-varying parameter model which estimates predictive coefficients as a nonparametric function of time and explore possible explanations of this finding, including time-varying risk-premia for which we only find limited support. Conversely, pockets of return predictability are consistent with a model of incomplete learning in which boundedly rational investors use macroeconomic proxies to track movements in a highly persistent growth component in the underlying cash flow process and fail to incorporate effects of future revisions in beliefs into current prices.