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A Bayesian analysis of a variance decomposition for stock returns

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  • Hollifield, Burton
  • Koop, Gary
  • Li, Kai

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  • Hollifield, Burton & Koop, Gary & Li, Kai, 2003. "A Bayesian analysis of a variance decomposition for stock returns," Journal of Empirical Finance, Elsevier, vol. 10(5), pages 583-601, December.
    • Handle: RePEc:eee:empfin:v:10:y:2003:i:5:p:583-601
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    1. Runkle, David E, 1987. "Vector Autoregressions and Reality," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 437-442, October.
    2. Campbell, John Y & Ammer, John, 1993. "What Moves the Stock and Bond Markets? A Variance Decomposition for Long-Term Asset Returns," Journal of Finance, American Finance Association, vol. 48(1), pages 3-37, March.
    3. Owen Lamont, 1998. "Earnings and Expected Returns," Journal of Finance, American Finance Association, vol. 53(5), pages 1563-1587, October.
    4. Campbell, John Y, 1991. "A Variance Decomposition for Stock Returns," Economic Journal, Royal Economic Society, vol. 101(405), pages 157-179, March.
    5. Kandel, Shmuel & McCulloch, Robert & Stambaugh, Robert F, 1995. "Bayesian Inference and Portfolio Efficiency," Review of Financial Studies, Society for Financial Studies, vol. 8(1), pages 1-53.
    6. Kandel, Shmuel & Stambaugh, Robert F, 1996. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June.
    7. Pastor, Lubos & Stambaugh, Robert F., 2000. "Comparing asset pricing models: an investment perspective," Journal of Financial Economics, Elsevier, vol. 56(3), pages 335-381, June.
    8. Ľuboš Pástor & Robert F. Stambaugh, 1999. "Costs of Equity Capital and Model Mispricing," Journal of Finance, American Finance Association, vol. 54(1), pages 67-121, February.
    9. Stambaugh, Robert F., 1999. "Predictive regressions," Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
    10. Runkle, David E, 1987. "Vector Autoregressions and Reality: Reply," Journal of Business & Economic Statistics, American Statistical Association, vol. 5(4), pages 454-454, October.
    11. Ammer, John & Mei, Jianping, 1996. "Measuring International Economic Linkages with Stock Market Data," Journal of Finance, American Finance Association, vol. 51(5), pages 1743-1763, December.
    12. David E. Runkle, 1987. "Vector autoregressions and reality," Staff Report 107, Federal Reserve Bank of Minneapolis.
    13. Hodrick, Robert J, 1992. "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 357-386.
    14. Lamoureux, Christopher G & Zhou, Guofu, 1996. "Temporary Components of Stock Returns: What Do the Data Tell Us?," Review of Financial Studies, Society for Financial Studies, vol. 9(4), pages 1033-1059.
    15. Kadiyala, K Rao & Karlsson, Sune, 1997. "Numerical Methods for Estimation and Inference in Bayesian VAR-Models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 12(2), pages 99-132, March-Apr.
    16. Ľuboš Pástor, 2000. "Portfolio Selection and Asset Pricing Models," Journal of Finance, American Finance Association, vol. 55(1), pages 179-223, February.
    17. Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, February.
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    Cited by:

    1. Bastianin, Andrea & Manera, Matteo, 2018. "How Does Stock Market Volatility React To Oil Price Shocks?," Macroeconomic Dynamics, Cambridge University Press, vol. 22(3), pages 666-682, April.
    2. Zhang, Tongbin, 2021. "Stock prices and the risk-free rate: An internal rationality approach," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    3. Zhang, Tongbin, 2014. "Stock Price, Real Riskless Interest Rate and Learning," MPRA Paper 57090, University Library of Munich, Germany.
    4. Yi-Mien Lin & Yun-Sheng Hsu & Shieh-Liang Chen, 2009. "Cash-flow news, market liquidity and liquidity risk," Applied Economics, Taylor & Francis Journals, vol. 41(9), pages 1137-1156.
    5. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
    6. Maio, Paulo & Philip, Dennis, 2015. "Macro variables and the components of stock returns," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 287-308.
    7. Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, April.

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