Semantic Scholar Open Access 1999 1316 sitasi

Predictive Regressions

R. Stambaugh

Lihat Sumber DOI

Abstrak

When a rate of return is regressed on a lagged stochastic regressor, such as a dividend yield, the regression disturbance is correlated with the regressor's innovation. The OLS estimator's finite-sample properties, derived here, can depart substantially from the standard regression setting. Bayesian posterior distributions for the regression parameters are obtained under specifications that differ with respect to (i) prior beliefs about the autocorrelation of the regressor and (ii) whether the initial observation of the regressor is specified as fixed or stochastic. The posteriors differ across such specifications, and asset allocations in the presence of estimation risk exhibit sensitivity to those differences. Disciplines Econometrics | Finance | Finance and Financial Management This journal article is available at ScholarlyCommons: http://repository.upenn.edu/fnce_papers/367 TECHNICAL WORKING PAPER SERIES PREDICTIVE REGRESSIONS

Penulis (1)

R. Stambaugh

Format Sitasi

APA MLA BibTeX

Stambaugh, R. (1999). Predictive Regressions. https://doi.org/10.1016/s0304-405x(99)00041-0

Akses Cepat

Lihat di Sumber doi.org/10.1016/s0304-405x(99)00041-0

Informasi Jurnal

Tahun Terbit: 1999
Bahasa: en
Total Sitasi: 1316×
Sumber Database: Semantic Scholar
DOI: 10.1016/s0304-405x(99)00041-0
Akses: Open Access ✓