지원사업
학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
커뮤니티
연구자들이 자신의 연구와 전문성을 널리 알리고, 새로운 협력의 기회를 만들 수 있는 네트워킹 공간이에요.
초록· 키워드
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We have applied the state-space model to the Korean stock market under restrictions imposed by the present-value relation. Our main findings are (i) expected stock returns vary over time and have persistent and predictable component, (ii) expected dividend growth rates do not contain persistent and predictable component, (iii) expected stock returns play relatively more important role in explaining variations in the price-dividend ratio, (iv) shocks to expected stock returns are also more crucial in understanding unexpected stock return shocks, and (v) the state-space model does not appear to perform better than the predictive regression in terms of the ability in forecasting stock returns or dividend growth rates.
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참고문헌 (16)
참고문헌 신청
Binsbergen, J. H. Van / 2010 / Predictive regressions: A present-value approach / Journal of Finance 65 : 1439 ~ 1471
Burmeister, E. / 1982 / Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation / Journal of Econometrics 20 : 255 ~
Campbell, J. Y. / 1988 / The dividend-price ratio and expectations of future dividends and discount factors / Review of Financial Studies 1 : 195 ~ 227
Cochrane, J.H. / / Asset Pricing / Princeton University Press
Engsted, T. / 2010 / The dividend-price ratio does predict dividend growth: International evidence / Journal of Empirical Finance 17 : 585 ~ 605
Burmeister, E. / 1982 / Kalman filtering estimation of unobserved rational expectations with an application to the German hyperinflation / Journal of Econometrics 20 : 255 ~
Campbell, J. Y. / 1988 / The dividend-price ratio and expectations of future dividends and discount factors / Review of Financial Studies 1 : 195 ~ 227
Cochrane, J.H. / / Asset Pricing / Princeton University Press
Engsted, T. / 2010 / The dividend-price ratio does predict dividend growth: International evidence / Journal of Empirical Finance 17 : 585 ~ 605
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