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Citations for "Testing The Predictive Power Of Dividend Yields"

by Goetzmann, W.N.

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  1. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," NBER Technical Working Papers 0298, National Bureau of Economic Research, Inc.
  2. Alex Maynard & Katsumi Shimotsu, 2007. "Covariance-based orthogonality tests for regressors with unknown persistence," Working Papers, Queen's University, Department of Economics 1122, Queen's University, Department of Economics.
  3. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, Elsevier, vol. 22(1), pages 284-304.
  4. Goncalves, Silvia & Kilian, Lutz, 2004. "Bootstrapping autoregressions with conditional heteroskedasticity of unknown form," Journal of Econometrics, Elsevier, Elsevier, vol. 123(1), pages 89-120, November.
  5. Massimo Guidolin & Allan Timmermann, 2008. "Size and Value Anomalies under Regime Shifts," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(1), pages 1-48, Winter.
  6. Jessica A. Wachter, 2010. "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, Annual Reviews, vol. 2(1), pages 175-206, December.
  7. Brennan, Michael & Xia, Yihong, 1997. "Stock Price Volatility, Learning, and the Equity Premium," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3zw2w634, Anderson Graduate School of Management, UCLA.
  8. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  9. Ferson, Wayne E & Korajczyk, Robert A, 1995. "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 68(3), pages 309-49, July.
  10. Xia, Yihong, 2000. "Learning About Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt3167f8mz, Anderson Graduate School of Management, UCLA.
  11. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 853, Board of Governors of the Federal Reserve System (U.S.).
  12. Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(3), pages 274-315, June.
  13. Dimitrios Malliaropulos, . "International stock return differentials and real exchange rate changes," CERF Discussion Paper Series, Economics and Finance Section, School of Social Sciences, Brunel University 96-09, Economics and Finance Section, School of Social Sciences, Brunel University.
  14. John Y. Campbell & Yeung Lewis Chan & Luis M. Viceira, 2001. "A Multivariate Model of Strategic Asset Allocation," NBER Working Papers 8566, National Bureau of Economic Research, Inc.
  15. Chiquoine, Benjamin & Hjalmarsson, Erik, 2009. "Jackknifing stock return predictions," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(5), pages 793-803, December.
  16. Huntley Schaller & Simon Van Norden, 1997. "Regime switching in stock market returns," Applied Financial Economics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 7(2), pages 177-191.
  17. Marco Bonomo & René Garcia, 1994. "Disappointment Aversion as a Solution to the Equity Premium and the Risk-Free Rate Puzzles," CIRANO Working Papers, CIRANO 94s-14, CIRANO.
  18. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers 12658, National Bureau of Economic Research, Inc.
  19. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
  20. Brealey, Richard A. & Kwan, Sabrina, 1999. "Personal taxes and the time variation of stock returns - evidence from the UK," Journal of Banking & Finance, Elsevier, Elsevier, vol. 23(11), pages 1557-1577, November.
  21. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2009. "Dividend yield and stability versus performance on the German stock market: a descriptive study," Review of Managerial Science, Springer, Springer, vol. 3(3), pages 225-248, November.
  22. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics, University of Gothenburg, Department of Economics 160, University of Gothenburg, Department of Economics.
  23. Goyal, Amit, 2004. "Demographics, Stock Market Flows, and Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 39(01), pages 115-142, March.
  24. Jens Pech Nielsen & Stefan Sperlich, 2001. "Prediction of stocks: A new way to look at it," Statistics and Econometrics Working Papers, Universidad Carlos III, Departamento de Estadística y Econometría ws011812, Universidad Carlos III, Departamento de Estadística y Econometría.
  25. Goetzmann, William N. & Ibbotson, Roger G. & Peng, Liang, 2001. "A new historical database for the NYSE 1815 to 1925: Performance and predictability," Journal of Financial Markets, Elsevier, Elsevier, vol. 4(1), pages 1-32, January.
  26. Stig Vinther Møller, 2008. "Consumption growth and time-varying expected stock returns," CREATES Research Papers 2008-40, School of Economics and Management, University of Aarhus.
  27. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
  28. Han, Yufeng, 2012. "State uncertainty in stock markets: How big is the impact on the cost of equity?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2575-2592.
  29. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, Elsevier, vol. 64(3), pages 423-458, June.
  30. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
  31. Inoue, Atsushi & Kilian, Lutz, 2002. "In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?," CEPR Discussion Papers, C.E.P.R. Discussion Papers 3671, C.E.P.R. Discussion Papers.
  32. Valkanov, Rossen, 2003. "Long-horizon regressions: theoretical results and applications," Journal of Financial Economics, Elsevier, Elsevier, vol. 68(2), pages 201-232, May.
  33. John Y. Campbell & Robert J. Shiller, 2001. "Valuation Ratios and the Long-run Stock Market Outlook: An Update," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1295, Cowles Foundation for Research in Economics, Yale University.
  34. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers 2009-36, School of Economics and Management, University of Aarhus.
  35. Massimo Guidolin & Stuart Hyde, 2007. "What tames the Celtic tiger? portfolio implications from a multivariate Markov switching model," Working Papers, Federal Reserve Bank of St. Louis 2006-029, Federal Reserve Bank of St. Louis.
  36. Wan Mahmood, Wan Mansor & Abdul Fatah, Faizatul Syuhada, 2007. "Multivariate Causal Estimates of Dividend Yields, Price Earning Ratio and Expected Stock Returns: Experience from Malaysia," MPRA Paper 14614, University Library of Munich, Germany.
  37. Andrei Anghel & Tudor Cristiana, 2013. "Investors' Dividend Preference On The Romanian Equity Market: A Cross-Sectional Empirical Investigation," Annals of Faculty of Economics, University of Oradea, Faculty of Economics, vol. 1(2), pages 61-69, December.
  38. Francisco Peñaranda, 2003. "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24857, London School of Economics and Political Science, LSE Library.
  39. Jakub W. Jurek & Luis M. Viceira, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers 12017, National Bureau of Economic Research, Inc.
  40. Tim Bollerslev & Robert J. Hodrick, 1992. "Financial Market Efficiency Tests," NBER Working Papers 4108, National Bureau of Economic Research, Inc.
  41. Pin-Huang Chou, 1996. "Using Bootstrap to Test Mean-Variance Efficiency of a Given Portfolio," Finance, EconWPA 9609002, EconWPA.
  42. David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
  43. Chen, Long, 2009. "On the reversal of return and dividend growth predictability: A tale of two periods," Journal of Financial Economics, Elsevier, Elsevier, vol. 92(1), pages 128-151, April.
  44. Jacob Boudoukh & Matthew Richardson & Robert F. Whitelaw, 2008. "The Myth of Long-Horizon Predictability," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1577-1605, July.
  45. Capozza, Dennis R. & Seguin, Paul J., 1996. "Expectations, efficiency, and euphoria in the housing market," Regional Science and Urban Economics, Elsevier, Elsevier, vol. 26(3-4), pages 369-386, June.
  46. Antje Henne & Sebastian Ostrowski & Peter Reichling, 2007. "Dividend Yield and Stability versus Performance at the German Stock Market," FEMM Working Papers 07017, Otto-von-Guericke University Magdeburg, Faculty of Economics and Management.
  47. Amit Goyal & Ivo Welch, 2003. "Predicting the Equity Premium with Dividend Ratios," Management Science, INFORMS, INFORMS, vol. 49(5), pages 639-654, May.
  48. Paul Harrison & Harold H. Zhang, . "Cyclical Variation in the Risk and Return Relation," Computing in Economics and Finance 1997, Society for Computational Economics 175, Society for Computational Economics.
  49. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance, EconWPA 0410018, EconWPA.
  50. Wayne E. Ferson & Sergei Sarkissian & Timothy T. Simin, 2003. "Spurious Regressions in Financial Economics?," Journal of Finance, American Finance Association, American Finance Association, vol. 58(4), pages 1393-1414, 08.
  51. Giuseppe Alesii, 2006. "Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 5(3), pages 245-264, December.
  52. Campbell, John, 2001. "Why Long Horizons? A Study of Power Against Persistent Alternatives," Scholarly Articles 3196341, Harvard University Department of Economics.
  53. Cochrane, John H., 2005. "Financial Markets and the Real Economy," Foundations and Trends(R) in Finance, now publishers, vol. 1(1), pages 1-101, July.
  54. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics, University of Gothenburg, Department of Economics 161, University of Gothenburg, Department of Economics.
  55. Donald Robertson & Stephen Wright, 2006. "Dividends, Total Cash Flow to Shareholders, and Predictive Return Regressions," The Review of Economics and Statistics, MIT Press, vol. 88(1), pages 91-99, February.
  56. Min Wei & Jonathan Wright, 2009. "Confidence intervals for long-horizon predictive regressions via reverse regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-27, Board of Governors of the Federal Reserve System (U.S.).
  57. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4914, C.E.P.R. Discussion Papers.
  58. J. Annaert & W. Van Hyfte, 2006. "Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 06/376, Ghent University, Faculty of Economics and Business Administration.
  59. Neil Kellard & John Nankervis & Fotis Papadimitriou, 2007. "Predicting the UK Equity Premium with Dividend Ratios: An Out-Of-Sample Recursive Residuals Graphical Approach," Money Macro and Finance (MMF) Research Group Conference 2006, Money Macro and Finance Research Group 129, Money Macro and Finance Research Group.
  60. Shiller, Robert J., 1999. "Human behavior and the efficiency of the financial system," Handbook of Macroeconomics, Elsevier, in: J. B. Taylor & M. Woodford (ed.), Handbook of Macroeconomics, edition 1, volume 1, chapter 20, pages 1305-1340 Elsevier.
  61. Berben, R-P. & van Dijk, D.J.C., 1998. "Does the absence of cointegration explain the typical findings in long horizon regressions?," Econometric Institute Research Papers EI 9814, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
  62. Valkanov, Rossen, 1999. "Equity Premium and Dividend Yield regressions: A lot of noise, little information, confusing results," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt955135m1, Anderson Graduate School of Management, UCLA.
  63. Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
  64. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, Elsevier, vol. 128(1), pages 136-163, May.
  65. Robert R. Grauer and Nils H. Hakansson., 1998. "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt) Performance Measures: The Case of Industry Rotation Via the Dynamic Investment Model," Research Program in Finance Working Papers, University of California at Berkeley RPF-277, University of California at Berkeley.
  66. Deaves, Richard & Miu, Peter & Barry White, C., 2008. "Canadian stock market multiples and their predictive content," International Review of Economics & Finance, Elsevier, Elsevier, vol. 17(3), pages 457-466.
  67. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, 04.
  68. Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 560-580, March.
  69. Durand, Robert B. & Lloyd, Paul & Wee Tee, Hong, 2004. "Myopic loss aversion and the equity premium puzzle reconsidered," Finance Research Letters, Elsevier, Elsevier, vol. 1(3), pages 171-177, September.
  70. Malliaropulos, Dimitrios & Priestley, Richard, 1999. "Mean reversion in Southeast Asian stock markets," Journal of Empirical Finance, Elsevier, Elsevier, vol. 6(4), pages 355-384, October.
  71. Lewellen, Jonathan, 2003. "Predicting Returns With Financial Ratios," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 4374-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  72. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(2), pages 209-235, November.
  73. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, Elsevier, vol. 5(2), pages 104-117, June.
  74. Thomas George & Chuan-Yang Hwang & Tavy Ronen, 2010. "Bootstrap refinements in tests of microstructure frictions," Review of Quantitative Finance and Accounting, Springer, Springer, vol. 35(1), pages 47-70, July.
  75. Ang, Andrew & Liu, Jun, 2005. "Risk, Return and Dividends," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt1s25177n, Anderson Graduate School of Management, UCLA.
  76. Massimo Guidolin & Allan Timmerman, 2006. "Asset allocation under multivariate regime switching," Working Papers, Federal Reserve Bank of St. Louis 2005-002, Federal Reserve Bank of St. Louis.
  77. Rapach, David E. & Wohar, Mark E. & Rangvid, Jesper, 2005. "Macro variables and international stock return predictability," International Journal of Forecasting, Elsevier, Elsevier, vol. 21(1), pages 137-166.
  78. Valkanov, Rossen, 1999. "Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt67b2h2gb, Anderson Graduate School of Management, UCLA.
  79. Massimo Guidolin & Stuart Hyde, 2008. "Equity portfolio diversification under time-varying predictability and comovements: evidence from Ireland, the US, and the UK," Working Papers, Federal Reserve Bank of St. Louis 2008-005, Federal Reserve Bank of St. Louis.
  80. Oliver D. Bunn & Robert J. Shiller, . "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1950, Cowles Foundation for Research in Economics, Yale University.
  81. Greg Filbeck & Sue Visscher, 1997. "Dividend yield strategies in the British stock market," The European Journal of Finance, Taylor & Francis Journals, Taylor & Francis Journals, vol. 3(4), pages 277-289.
  82. Rapach, David E. & Wohar, Mark E., 2006. "In-sample vs. out-of-sample tests of stock return predictability in the context of data mining," Journal of Empirical Finance, Elsevier, Elsevier, vol. 13(2), pages 231-247, March.
  83. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper 49093, University Library of Munich, Germany.
  84. Puneet Handa, 2006. "Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954–2002)," The Journal of Business, University of Chicago Press, University of Chicago Press, vol. 79(5), pages 2423-2468, September.
  85. Torous, Walter & Valkanov, Rossen, 2000. "Boundaries of Predictability: Noisy Predictive Regressions," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt33p7672z, Anderson Graduate School of Management, UCLA.
  86. Kothari, S. P. & Shanken, Jay, 1997. "Book-to-market, dividend yield, and expected market returns: A time-series analysis," Journal of Financial Economics, Elsevier, Elsevier, vol. 44(2), pages 169-203, May.
  87. Li, Minqiang & Pearson, Neil D. & Poteshman, Allen M., 2004. "Conditional estimation of diffusion processes," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(1), pages 31-66, October.
  88. Oliver D. Bunn & Robert J. Shiller, 2014. "Changing Times, Changing Values: A Historical Analysis of Sectors within the US Stock Market 1872-2013," NBER Working Papers 20370, National Bureau of Economic Research, Inc.
  89. Li, GuangJie, 2009. "The Horizon Effect of Stock Return Predictability and Model Uncertainty on Portfolio Choice: UK Evidence," Cardiff Economics Working Papers E2009/4, Cardiff University, Cardiff Business School, Economics Section, revised Aug 2009.
  90. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers, University of Graz, Department of Economics 2012-02, University of Graz, Department of Economics.
  91. Brennan, Michael J. & Xia, Yihong, 2001. "Stock price volatility and equity premium," Journal of Monetary Economics, Elsevier, Elsevier, vol. 47(2), pages 249-283, April.
  92. Jacob Boudoukh & Matthew Richardson & Robert Whitelaw, 2005. "The Myth of Long-Horizon Predictability," NBER Working Papers 11841, National Bureau of Economic Research, Inc.
  93. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  94. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers 14169, National Bureau of Economic Research, Inc.
  95. Jay Shanken & Ane Tamayo, 2001. "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers 8666, National Bureau of Economic Research, Inc.