Investing for the long run when returns are predictable

Journal of Finance

Volumn 55, Issue 1, 2000, Pages 225-264

  Barberis, Nicholas ^a  

^a UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 0039179796     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/0022-1082.00205     Document Type: Article

References (30)

1. Bawa, Vijay, Stephen Brown, and Roger Klein, 1979, Estimation Risk and Optimal Portfolio Choice (North Holland, Amsterdam).
2. Bodie, Zvi, 1995, On the risk of stocks in the long run, Financial Analysts Journal 51, 18-22.
3. Brennan, Michael, 1998, The role of learning in dynamic portfolio decisions, European Finance Review 1, 295-306.
4. Brennan, Michael, Eduardo Schwartz, and Ronald Lagnado, 1997, Strategic asset allocation, Journal of Economic Dynamics and Control 21, 1377-1403.
5. Campbell, John, 1987, Stock returns and the term structure, Journal of Financial Economics 18, 373-399.
6. Campbell, John, 1991, A variance decomposition for stock returns, The Economic Journal 101, 157-179.
7. Campbell, John, and Robert Shiller, 1988a, The dividend-price ratio and expectations of future dividends and discount factors, Review of Financial Studies 1, 195-227.
8. Campbell, John, and Robert Shiller, 1988b, Stock prices, earnings, and expected dividends, Journal of Finance 43, 661-676.
9. Campbell, John, and Luis Viceira, 1999, Consumption and portfolio decisions when expected returns are time varying, Quarterly Journal of Economics 114, 433-495.
10. Fama, Eugene, and Kenneth French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-27.
11. Fama, Eugene, and Kenneth French, 1989, Business conditions and expected returns on stocks and bonds, Journal of Financial Economics 25, 23-49.
12. Frost, Peter, and James Savarino, 1986, An empirical Bayes approach to efficient portfolio selection, Journal of Financial and Quantitative Analysis 21, 293-305.
13. Gennotte, Gerard, 1986, Optimal portfolio choice under incomplete information, Journal of Finance 41, 733-746.
14. Hodrick, Robert, 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5, 357-386.
15. Jobson, J. D., and Robert Korkie, 1980, Estimation for Markowitz efficient portfolios, Journal of the American Statistical Association 75, 544-554.
16. Jorion, Phillipe, 1985, International portfolio diversification with estimation risk, Journal of Business 58, 259-278.
17. Kandel, Shmuel, and Robert Stambaugh, 1987, Long horizon returns and short horizon models, CRSP Working paper no. 222, University of Chicago.
18. Kandel, Shmuel, and Robert Stambaugh, 1996, On the predictability of stock returns: An asset allocation perspective, Journal of Finance 51, 385-424.
19. Keim, Donald, and Robert Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357-390.
20. Kim, Tong Suk, and Edward Omberg, 1996, Dynamic nonmyopic portfolio behavior, Review of Financial Studies 9, 141-161.
21. Merton, Robert, 1969, Lifetime portfolio selection: The continuous-time case, Review of Economics and Statistics 51, 247-257.
22. Merton, Robert, 1973, An intertemporal capital asset pricing model, Econometrica 41, 867-887.
23. Merton, Robert, 1980, On estimating the expected return on the market: An exploratory investigation, Journal of Financial Economics 8, 323-361.
24. Samuelson, Paul, 1969, Lifetime portfolio selection by dynamic stochastic programming, Review of Economics and Statistics 51, 239-246.
25. Samuelson, Paul, 1994, The long-term case for equities, Journal of Portfolio Management, Fall, 15-24.
26. Siegel, Jeremy, 1994, Stocks for the Long Run (Richard D. Irwin, Burr Ridge, Ill.).
27. Stambaugh, Robert, 1999, Predictive regressions, Journal of Financial Economics, forthcoming.
28. Williams, Joseph, 1977, Capital asset prices with heterogeneous beliefs, Journal of Financial Economics 5, 219-239.
29. Zellner, Arnold, 1971, An Introduction to Bayesian Inference in Econometrics (John Wiley & Sons, New York).
30. Zellner, Arnold, and V. Karrupan Chetty, 1965, Prediction and decision problems in regression models from the Bayesian point of view, Journal of the American Statistical Association 60, 608-616.