메뉴 건너뛰기




Volumn 23, Issue 1, 1996, Pages 93-106

Are long-horizon stock returns predictable? a bootstrap analysis

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0002410511     PISSN: 0306686X     EISSN: 14685957     Source Type: Journal    
DOI: 10.1111/j.1468-5957.1996.tb00404.x     Document Type: Article
Times cited : (16)

References (30)
  • 1
    • 84977718189 scopus 로고
    • Characterizing predictable components in excess returns on equity and foreign exchange markets
    • Bekaert, G. and RJ. Hodrick (1992),'Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets', The Journal of Finance, Vol.47, pp. 467-509.
    • (1992) The Journal of Finance , vol.47 , pp. 467-509
    • Bekaert, G.1    Hodrick, R.J.2
  • 2
    • 84896515917 scopus 로고
    • Noise
    • Black, F. (1986),'Noise', Journal of Finance, Vol. 41, pp. 529-543.
    • (1986) Journal of Finance , vol.41 , pp. 529-543
    • Black, F.1
  • 3
    • 0000433727 scopus 로고
    • A variance decomposition for stock returns
    • Campbell, J.Y. (1991),'A Variance Decomposition for Stock Returns', The Economic Journal, Vol.101, pp. 157-179.
    • (1991) The Economic Journal , vol.101 , pp. 157-179
    • Campbell, J.Y.1
  • 4
    • 84977717068 scopus 로고
    • Stock prices, earnings, and expected dividends
    • Campbell, J.Y. and R.J. Shiller (1988),'Stock Prices, Earnings, and Expected Dividends', The Journal of Finance, Vol.43, pp. 661-676.
    • (1988) The Journal of Finance , vol.43 , pp. 661-676
    • Campbell, J.Y.1    Shiller, R.J.2
  • 5
    • 84993921339 scopus 로고
    • A variance decomposition for long-term asset returns
    • -and J. Ammer (1993), 'A Variance Decomposition for Long-term Asset Returns,' The Journal of Finance, Vol.48, pp 3-37.
    • (1993) The Journal of Finance , vol.48 , pp. 3-37
    • Ammer, J.1
  • 6
    • 0000209283 scopus 로고
    • How big is the random walk in gnp?
    • Cochrane, J.H. (1988),'How Big is the Random Walk in GNP?', Journal of Political Economy, Vol 95, pp. 1062-1088.
    • (1988) Journal of Political Economy , vol.95 , pp. 1062-1088
    • Cochrane, J.H.1
  • 7
    • 0000334217 scopus 로고
    • An intertemporal general equilibrium model of asset prices
    • Cox, J., J. Ingersoll, and S. Ross (1985),'An Intertemporal General Equilibrium Model of Asset Prices', Econometrica, Vol. 53, pp. 363-384.
    • (1985) Econometrica , vol.53 , pp. 363-384
    • Cox, J.1    Ingersoll, J.2    Ross, S.3
  • 9
    • 84923118701 scopus 로고
    • Speculative dynamics
    • -(1991), 'Speculative Dynamics', Review of Economic Studies, Vol.58, pp. 529-546.
    • (1991) Review of Economic Studies , vol.58 , pp. 529-546
  • 10
    • 84900013243 scopus 로고
    • Does the stock market overreact?
    • De Bond, W. and R. Thaler (1985),'Does the Stock Market Overreact?', The Journal of Finance, Vol. 40, pp. 793-805.
    • (1985) The Journal of Finance , vol.40 , pp. 793-805
    • De Bond, W.1    Thaler, R.2
  • 11
    • 84971847645 scopus 로고
    • Temporary components of stock prices: New univariate results
    • Eckbo, B.E. and J. Liu (1993),'Temporary Components of Stock Prices: New Univariate Results', Journal of Financial and Quantitative Analysis, Vol.28, pp. 161-176.
    • (1993) Journal of Financial and Quantitative Analysis , vol.28 , pp. 161-176
    • Eckbo, B.E.1    Liu, J.2
  • 12
    • 0002344794 scopus 로고
    • Bootstrap methods: Another look at the jackknife
    • Efron, B. (1979),'Bootstrap Methods: Another Look at the Jackknife', Annals of Statisties, Vol.7, pp. 1-26.
    • (1979) Annals of Statisties , vol.7 , pp. 1-26
    • Efron, B.1
  • 13
    • 84936823605 scopus 로고
    • Permanent and temporary components of stock prices
    • Fama, F. and K.R. French (1988a),'Permanent and Temporary Components of Stock Prices', Journal of Political Economy, Vol. 96, pp. 246-273.
    • (1988) Journal of Political Economy , vol.96 , pp. 246-273
    • Fama, F.1    French, K.R.2
  • 14
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • -(1988b),'Dividend Yields and Expected Stock Returns', Journal of Financial Economics, Vol.22, pp. 3-25.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-25
  • 15
    • 21144468673 scopus 로고
    • Patterns in three centuries of stock market prices
    • Goetzman, W.N. (1993),'Patterns in Three Centuries of Stock Market Prices', Journal of Business, Vol.66, pp. 249-270.
    • (1993) Journal of Business , vol.66 , pp. 249-270
    • Goetzman, W.N.1
  • 16
    • 84993843443 scopus 로고
    • Testing the predictive power of dividend yields
    • -and P. Jorion (1993), 'Testing the Predictive Power of Dividend Yields', The Journal of Finance, Vol.48, pp. 663-679.
    • (1993) The Journal of Finance , vol.48 , pp. 663-679
    • Jorion, P.1
  • 17
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: Alternative procedures for inference and measurement'
    • Hodrick, R. (1992), 'Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement' Review of Financial Studies, Vol.5 pp. 357-386.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.1
  • 18
    • 84959822288 scopus 로고
    • Mean reversion in stock prices?'a reappraisal of empirical evidence
    • Kim, M.J., C.R. Nelson and R. Startz (1991),'Mean Reversion in Stock Prices?'A Reappraisal of Empirical Evidence,' Review of Economic Studies, Vol.58, pp. 515-528.
    • (1991) Review of Economic Studies , vol.58 , pp. 515-528
    • Kim, M.J.1    Nelson, C.R.2    Startz, R.3
  • 19
    • 0002484986 scopus 로고
    • Stock prices do not follow random walks: Evidence from a simple specification test
    • Lo, A.W. and A.C. MacKinlay (1988),'Stock Prices Do Not Follow Random Walks: Evidence From a Simple Specification Test', Review of Financial Sludies, Vol. 1, pp. 41-66.
    • (1988) Review of Financial Sludies , vol.1 , pp. 41-66
    • Lo, A.W.1    MacKinlay, A.C.2
  • 20
    • 45249127135 scopus 로고
    • The size and power of the variance ratio test in finite samples: A monte carlo investigation,'
    • -(1989), 'The Size and Power of the Variance Ratio Test in Finite Samples: A Monte Carlo Investigation,' Journal of Econometrics, Vol.40, pp. 203-238.
    • (1989) Journal of Econometrics , vol.40 , pp. 203-238
  • 21
    • 0000150312 scopus 로고
    • Asset prices in an exchange economy
    • Lucas, R. (1978), Asset Prices in an Exchange Economy', Econometrica, Vol.66, pp 1429-1445.
    • (1978) Econometrica , vol.66 , pp. 1429-1445
    • Lucas, R.1
  • 22
    • 0347121976 scopus 로고
    • Persistence in UK stock market returns: Some evidence using high-frequency data
    • June
    • MacDonald, R. and D. Power (1992),'Persistence in UK Stock Market Returns: Some Evidence Using High-frequency Data', Journal of Business Finance & Accounting, Vol.19, No.4 (June) pp. 505-514.
    • (1992) Journal of Business Finance & Accounting , vol.19 , Issue.4 , pp. 505-514
    • MacDonald, R.1    Power, D.2
  • 24
  • 26
    • 84993914996 scopus 로고
    • Predictable stock returns: The role of small sample bias
    • Nelson, C.R. and M.J. Kim (1993),'Predictable Stock Returns: The Role of Small Sample Bias,' The Journal of Finance, Vol.48, pp. 641-661.
    • (1993) The Journal of Finance , vol.48 , pp. 641-661
    • Nelson, C.R.1    Kim, M.J.2
  • 27
    • 0002158052 scopus 로고
    • Mean-reversion in stock prices evidence and implications
    • Poterba, J.M. and L.H. Summers (1988),'Mean-reversion in Stock Prices Evidence and Implications', Journal of Financial Economics, Vol.22, pp. 27-59.
    • (1988) Journal of Financial Economics , vol.22 , pp. 27-59
    • Poterba, J.M.1    Summers, L.H.2
  • 28
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, G. (1978),'Estimating the Dimension of a Model', Annals of Statistics, Vol. 6, pp. 461-464.
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.