On the Predictability of Stock Returns: An Asset-Allocation Perspective
Author
Abstract
Suggested Citation
Note: AP
Download full text from publisher
Other versions of this item:
- 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.
References listed on IDEAS
- Gennotte, Gerard, 1986. "Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-746, July.
- Campbell, John Y., 1987.
"Stock returns and the term structure,"
Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
- John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
- Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
- Kandel, Shmuel & Stambaugh, Robert F., 1991.
"Asset returns and intertemporal preferences,"
Journal of Monetary Economics, Elsevier, vol. 27(1), pages 39-71, February.
- Shmuel Kandel & Robert F. Stambaugh, 1991. "Asset Returns and Intertemporal Preferences," NBER Working Papers 3633, National Bureau of Economic Research, Inc.
- Foster, F Douglas & Smith, Tom & Whaley, Robert E, 1997. "Assessing Goodness-of-Fit of Asset Pricing Models: The Distribution of the Maximal R-Squared," Journal of Finance, American Finance Association, vol. 52(2), pages 591-607, June.
- David Feldman, 1989. "The Term Structure of Interest Rates in a Partially Observable Economy," Journal of Finance, American Finance Association, vol. 44(3), pages 789-812, July.
- Frost, Peter A. & Savarino, James E., 1986. "An Empirical Bayes Approach to Efficient Portfolio Selection," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 293-305, September.
- Black, Fischer, 1990. "Mean Reversion and Consumption Smoothing," The Review of Financial Studies, Society for Financial Studies, vol. 3(1), pages 107-114.
- Goetzmann, William N & Jorion, Philippe, 1995.
"A Longer Look at Dividend Yields,"
The Journal of Business, University of Chicago Press, vol. 68(4), pages 483-508, October.
- Philippe Jorion & William N. Goetzmann, 1998. "A Longer Look at Dividend Yields," Yale School of Management Working Papers ysm41, Yale School of Management.
- Dothan, Michael U & Feldman, David, 1986. "Equilibrium Interest Rates and Multiperiod Bonds in a Partially Observable Economy," Journal of Finance, American Finance Association, vol. 41(2), pages 369-382, June.
- Fama, Eugene F. & Schwert, G. William, 1977. "Asset returns and inflation," Journal of Financial Economics, Elsevier, vol. 5(2), pages 115-146, November.
- French, Kenneth R. & Schwert, G. William & Stambaugh, Robert F., 1987. "Expected stock returns and volatility," Journal of Financial Economics, Elsevier, vol. 19(1), pages 3-29, September.
- Jorion, Philippe, 1985. "International Portfolio Diversification with Estimation Risk," The Journal of Business, University of Chicago Press, vol. 58(3), pages 259-278, July.
- Jorion, Philippe, 1986. "Bayes-Stein Estimation for Portfolio Analysis," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 21(3), pages 279-292, September.
- Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
- Feldman, David, 1992. "Logarithmic Preferences, Myopic Decisions, and Incomplete Information," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(4), pages 619-629, December.
- Detemple, Jerome B, 1986. "Asset Pricing in a Production Economy with Incomplete Information," Journal of Finance, American Finance Association, vol. 41(2), pages 383-391, June.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- 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 qt3167f8mz, Anderson Graduate School of Management, UCLA.
- Campbell, John Y, 1993.
"Intertemporal Asset Pricing without Consumption Data,"
American Economic Review, American Economic Association, vol. 83(3), pages 487-512, June.
- John Y. Campbell, 1992. "Intertemporal Asset Pricing Without Consumption Data," NBER Working Papers 3989, National Bureau of Economic Research, Inc.
- Campbell, John, 1993. "Intertemporal Asset Pricing Without Consumption Data," Scholarly Articles 3221491, Harvard University Department of Economics.
- John Y. Campbell, 2000.
"Asset Pricing at the Millennium,"
Journal of Finance, American Finance Association, vol. 55(4), pages 1515-1567, August.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," Harvard Institute of Economic Research Working Papers 1897, Harvard - Institute of Economic Research.
- John Y. Campbell, 2000. "Asset Pricing at the Millennium," NBER Working Papers 7589, National Bureau of Economic Research, Inc.
- Campbell, John, 2000. "Asset Pricing at the Millennium," Scholarly Articles 3294737, Harvard University Department of Economics.
- David Feldman, 2007. "Incomplete information equilibria: Separation theorems and other myths," Annals of Operations Research, Springer, vol. 151(1), pages 119-149, April.
- Basak, Suleyman, 2000. "A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk," Journal of Economic Dynamics and Control, Elsevier, vol. 24(1), pages 63-95, January.
- Ziegler, Alexandre, 2002. "State-price densities under heterogeneous beliefs, the smile effect, and implied risk aversion," European Economic Review, Elsevier, vol. 46(8), pages 1539-1557, September.
- Alexandre Ziegler, 2001. "Dividend Growth Uncertainty and Stock Prices," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), vol. 137(IV), pages 579-598, December.
- Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
- Honda, Toshiki, 2003. "Optimal portfolio choice for unobservable and regime-switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 45-78, October.
- Haim Kedar-Levy, 2002. "Price Bubbles of New-Technology IPOs," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, vol. 7(2), pages 11-32, Summer.
- Jonathan Lewellen & Jay Shanken, 2000. "Estimation Risk, Market Efficiency, and the Predictability of Returns," NBER Working Papers 7699, National Bureau of Economic Research, Inc.
- Jacoby, Gady & Lee, Gemma & Paseka, Alexander & Wang, Yan, 2019. "Asset pricing with an imprecise information set," Pacific-Basin Finance Journal, Elsevier, vol. 53(C), pages 82-93.
- Haim Kedar-Levy, 2004. "Learning the CAPM through Bubbles," Econometric Society 2004 Far Eastern Meetings 775, Econometric Society.
- Detemple, Jérôme, 1993. "Demande de portefeuille et politique de couverture de risque sous information incomplète," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(1), pages 45-70, mars.
- Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
- Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
- Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
- Andrew Papanicolaou, 2018. "Backward SDEs for Control with Partial Information," Papers 1807.08222, arXiv.org.
- John Y. Campbell, 2008.
"Viewpoint: Estimating the equity premium,"
Canadian Journal of Economics, Canadian Economics Association, vol. 41(1), pages 1-21, February.
- John Y. Campbell, 2008. "Viewpoint: Estimating the equity premium," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 41(1), pages 1-21, February.
- repec:grz:wpaper:2012-02 is not listed on IDEAS
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan R. Stroud, 2005.
"A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 18(3), pages 831-873.
- Michael W. Brandt & Amit Goyal & Pedro Santa-Clara & Jonathan Storud, 2004. "A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability," NBER Working Papers 10934, National Bureau of Economic Research, Inc.
More about this item
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
Statistics
Access and download statisticsCorrections
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:nbr:nberwo:4997. See general information about how to correct material in RePEc.
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.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with 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.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: the person in charge (email available below). General contact details of provider: https://edirc.repec.org/data/nberrus.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.