IDEAS home Printed from https://ideas.repec.org/a/bes/jnlbes/v23y2005p181-191.html
   My bibliography  Save this article

The Structural Break in the Equity Premium

Author

Listed:
  • Kim, Chang-Jin
  • Morley, James C.
  • Nelson, Charles R.

Abstract

No abstract is available for this item.

Suggested Citation

  • Kim, Chang-Jin & Morley, James C. & Nelson, Charles R., 2005. "The Structural Break in the Equity Premium," Journal of Business & Economic Statistics, American Statistical Association, vol. 23, pages 181-191, April.
  • Handle: RePEc:bes:jnlbes:v:23:y:2005:p:181-191
    as

    Download full text from publisher

    File URL: http://www.ingentaconnect.com/content/asa/jbes/2005/00000023/00000002/art00008
    File Function: full text
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Bauwens, Luc & Rombouts, Jeroen V.K., 2012. "On marginal likelihood computation in change-point models," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3415-3429.
    2. Chun Liu & John M. Maheu, 2008. "Are There Structural Breaks in Realized Volatility?," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 6(3), pages 326-360, Summer.
    3. Walentin Karl, 2010. "Earnings Inequality and the Equity Premium," The B.E. Journal of Macroeconomics, De Gruyter, vol. 10(1), pages 1-23, November.
    4. Evanthia Chatzitzisi & Stilianos Fountas & Theodore Panagiotidis, 2019. "Another Look at Calendar Anomalies," Working Paper series 19-07, Rimini Centre for Economic Analysis.
    5. He, Zhongfang & Maheu, John M., 2010. "Real time detection of structural breaks in GARCH models," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2628-2640, November.
    6. Massimo Guidolin, 2011. "Markov Switching Models in Empirical Finance," Working Papers 415, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    7. Maheu, John M. & McCurdy, Thomas H., 2009. "How Useful are Historical Data for Forecasting the Long-Run Equity Return Distribution?," Journal of Business & Economic Statistics, American Statistical Association, vol. 27, pages 95-112.
    8. Warusawitharana, Missaka, 2013. "The expected real return to equity," Journal of Economic Dynamics and Control, Elsevier, vol. 37(9), pages 1929-1946.
    9. MeiChi Huang, 2013. "The Role of People’s Expectation in the Recent US Housing Boom and Bust," The Journal of Real Estate Finance and Economics, Springer, vol. 46(3), pages 452-479, April.
    10. Cheolbeom Park, 2006. "The Persistence and Predictive Power of the Dividend-Price Ratio," Departmental Working Papers wp0603, National University of Singapore, Department of Economics.
    11. repec:gam:jjrfmx:v:11:y:2018:i:3:p:52-:d:167993 is not listed on IDEAS
    12. repec:eee:finana:v:52:y:2017:i:c:p:49-61 is not listed on IDEAS
    13. repec:gam:jecnmx:v:5:y:2017:i:4:p:54-:d:122391 is not listed on IDEAS
    14. Farooq Malik, 2015. "Revisiting the relationship between risk and return," Review of Quantitative Finance and Accounting, Springer, vol. 44(1), pages 25-40, January.
    15. Mark J. Jensen & John M. Maheu, 2018. "Risk, Return and Volatility Feedback: A Bayesian Nonparametric Analysis," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 11(3), pages 1-29, September.
    16. Andreou, Elena & Ghysels, Eric, 2008. "Quality control for structural credit risk models," Journal of Econometrics, Elsevier, vol. 146(2), pages 364-375, October.
    17. He, Zhongfang, 2009. "Forecasting output growth by the yield curve: the role of structural breaks," MPRA Paper 28208, University Library of Munich, Germany.
    18. Missaka Warusawitharana, 2011. "The expected real return to equity," Finance and Economics Discussion Series 2011-14, Board of Governors of the Federal Reserve System (US).
    19. Carlos Carvalho & Jared D. Fisher & Davide Pettenuzzo, 2018. "Optimal Asset Allocation with Multivariate Bayesian Dynamic Linear Models," Working Papers 123, Brandeis University, Department of Economics and International Businesss School.
    20. Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
    21. Park, Cheolbeom, 2010. "When does the dividend-price ratio predict stock returns?," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 81-101, January.
    22. Huang, MeiChi, 2014. "Bubble-like housing boom–bust cycles: Evidence from the predictive power of households’ expectations," The Quarterly Review of Economics and Finance, Elsevier, vol. 54(1), pages 2-16.
    23. Buranavityawut, Nonthipoth & Freeman, Mark C. & Freeman, Nisih, 2006. "Has the equity premium been low for 40 years?," The North American Journal of Economics and Finance, Elsevier, vol. 17(2), pages 191-205, August.
    24. Benjamas Jirasakuldech & Robert Campbell & Riza Emekter, 2009. "Conditional Volatility of Equity Real Estate Investment Trust Returns: A Pre- and Post-1993 Comparison," The Journal of Real Estate Finance and Economics, Springer, vol. 38(2), pages 137-154, February.
    25. Fukuda, Kosei, 2012. "Illustrating extraordinary shocks causing trend breaks," Economic Modelling, Elsevier, vol. 29(4), pages 1045-1052.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bes:jnlbes:v:23:y:2005:p:181-191. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum). General contact details of provider: http://www.amstat.org/publications/jbes/index.cfm?fuseaction=main .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.