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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 발행연도
- 2006.1
- 수록면
- 167 - 201 (35page)
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We find that the log of real price-dividend ratios from 1872 to 2001 can be described as a logistic smooth transition autoregression model. The estimation shows that the series is in a regime where this process shows nonstationarity for most of the period after 1959. Some earlier studies which report highly predictable stock returns only after WWII and the excessive bias from 1970s to late 1990s in the coefficient of the forecasting variable can be explained using regime switching behavior, i.e. nonstationary behavior of the forecasting variable in the stock return prediction regression in the latter part of the sample.
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참고문헌 (38)
참고문헌 신청
/ 1954 / Note on Bias in the Estimation of Autocorrelation : 403 ~ 404
/ 1975 / As reprinted in Selected Writings on Futures Mar-kets edited by A Chicago Board of Trade : 237 ~ 250
/ 1986 / Bias in Regressions with Lagged Stochastic Regres-sors University of Chicago
/ 1986 / Predicting Returns in the Stock and BondMarkets Journal of Financial Economics : 357 ~ 390
/ 1988b195-288 / The Dividend-Price Ratio and Expectations of FutureDividends and Discount Factors Review of Financial Studies
/ 1975 / As reprinted in Selected Writings on Futures Mar-kets edited by A Chicago Board of Trade : 237 ~ 250
/ 1986 / Bias in Regressions with Lagged Stochastic Regres-sors University of Chicago
/ 1986 / Predicting Returns in the Stock and BondMarkets Journal of Financial Economics : 357 ~ 390
/ 1988b195-288 / The Dividend-Price Ratio and Expectations of FutureDividends and Discount Factors Review of Financial Studies
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