Why long horizons? A study of power against persistent alternatives

Journal of Empirical Finance

Volumn 8, Issue 5, 2001, Pages 459-491

  Campbell, John Y ^a  

^a HARVARD UNIVERSITY   (United States)

Author keywords

Approximate slope; C22; G12; Long horizon regressions; Power

Indexed keywords

EID: 0013052163     PISSN: 09275398     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0927-5398(01)00037-8     Document Type: Article

References (43)

1. Bahadur R.R. Stochastic comparison of tests. Annals of Mathematical Statistics. 31:1960;276-294.
2. Bollerslev T., Hodrick R.J. Financial market efficiency tests. Pesaran M., Hashem, Wickens, Michael R. Handbook of Applied Econometrics. vol. 1:1995;Blackwell, Oxford.
3. Boudoukh, J., Richardson, M., The Statistics of Long-Horizon Regressions Revisited, unpublished paper, New York University and University of Pennsylvania, 1993.
4. Campbell J.Y. A variance decomposition for stock returns. Economic Journal. 101:1991;157-179.
5. Campbell J.Y., Shiller R.J. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies. 1:1988;195-228.
6. Campbell J.Y., Shiller R.J. Stock prices, earnings, and expected dividends. Journal of Finance. 43:1988;661-676.
7. Campbell J.Y., Shiller R.J. Yield spreads and interest rate movements: a bird's eye view. Review of Economic Studies. 58:1991;495-514.
8. Campbell J.Y., Lo A.W., MacKinlay A. Present value relations. Chapter 7 in The Econometrics of Financial Markets. 1997;Princeton University Press, Princeton.
9. Cochrane J.H. How big is the random walk in GNP? Journal of Political Economy. 96:1988;893-920.
10. Cochrane J.H. Volatility tests and efficient markets: a review essay. Journal of Monetary Economics. 27:1991;463-484.
11. Engle R.F. Wald, likelihood ratio and lagrange multiplier tests in econometrics. Griliches Z., Intriligator M.D. Chapter 13: Handbook of Econometrics. vol. II:1984;North Holland, Amsterdam.
12. Fama E.F. Term structure forecasts of interest rates, inflation, and real returns. Journal of Monetary Economics. 25:1990;59-76.
13. Fama E.F., Bliss R. The information in long-maturity forward rates. American Economic Review. 77:1987;680-692.
14. Fama E.F., French K.R. Permanent and temporary components of stock prices. Journal of Political Economy. 96:1988;246-273.
15. Fama E.F., French K.R. Dividend yields and expected stock returns. Journal of Financial Economics. 22:1988;3-24.
16. Fama E.F., French K.R. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 25:1989;23-49.
17. Faust J. When are variance ratio tests for serial dependence optimal? Econometrica. 60:1992;1215-1226.
18. Geweke J. The approximate slope of econometric tests. Econometrica. 49:1981;1427-1442.
19. Goetzmann W.N., Jorion P. Testing the predictive power of dividend yields. Journal of Finance. 48:1993;663-679.
20. Hansen L.P. Large sample properties of generalized method of moments estimators. Econometrica. 50:1982;1029-1054.
21. Hansen L.P., Hodrick R.J. Forward exchange rates as optimal predictors of future spot rates: an econometric analysis. Journal of Political Economy. 88:1980;829-853.
22. Hodrick R.J. Dividend yields and expected stock returns: alternative procedures for inference and measurement. Review of Financial Studies. 5:1992;357-386.
23. Jegadeesh N. Seasonality in stock price mean reversion: evidence from the U.S. and the U.K. Journal of Finance. 46:1991;1427-1444.
24. LeRoy S.F., Porter R. The present value relation: tests based on variance bounds. Econometrica. 49:1981;555-574.
25. Lo A.W., MacKinlay A. Stock prices do not follow random walks: evidence from a simple specification test. Review of Financial Studies. 1:1988;41-66.
26. Lo A.W., MacKinlay A. The size and power of the variance radio test in finite samples: a Monte Carlo investigation. Journal of Econometrics. 40:1989;203-238.
27. Mankiw N.G., Shapiro M.D. Do we reject too often? Economics Letters. 20:1986;139-145.
28. Mark N.C. Exchange rates and fundamentals: evidence on long-horizon predictability. American Economic Review. 85:1995;201-218.
29. Mishkin F.S. What does the term structure tell us about future inflation? Journal of Monetary Economics. 25:1990;77-95.
30. Mishkin F.S. The information in the longer maturity term structure about future inflation. Quarterly Journal of Economics. 105:1990;815-828.
31. Nelson C.R., Myung J.K. Predictable stock returns: the role of small sample bias. Journal of Finance. 48:1993;641-661.
32. Newey W.K., West K.D. A simple, positive definite, heteroscedasticity and autocorrelation consistent covariance matrix. Econometrica. 55:1987;703-708.
33. Poterba J., Summers L.H. Mean reversion in stock returns: evidence and implications. Journal of Financial Economics. 22:1988;27-60.
34. Richardson, M., Smith, T., 1991a. Robust power calculations with tests for serial correlation in stock returns, unpublished paper, University of Pennsylvania and Duke University.
35. Richardson M., Smith T. Tests of financial models in the presence of overlapping observations. Review of Financial Studies. 4:1991;227-254.
36. Richardson M., Stock J.H. Drawing inferences from statistics based on multi-year asset returns. Journal of Financial Economics. 25:1989;323-348.
37. Scott L.O. The present value model of stock prices: regression tests and Monte Carlo results. Review of Economics and Statistics. 67:1985;599-604.
38. Shiller R.J. Do stock prices move too much to be justified by subsequent changes in dividends? American Economic Review. 71:1981;421-436.
39. Shiller R.J. Market Volatility. 1989;MIT Press, Cambridge, MA.
40. Stambaugh, R.F., 1993. Estimating conditional expectations when volatility fluctuates, National Bureau of Economic Research Technical Paper 140.
41. Stambaugh R.F. Predictive regressions. Journal of Financial Economics. 54:1999;375-421.
42. Summers L.H. Does the stock market rationally reflect fundamental values? Journal of Finance. 41:1986;591-601.
43. White H. Asymptotic Theory for Econometricians. 1984;Academic Press, Orlando, FL.