메뉴 건너뛰기




Volumn 51, Issue 2, 1996, Pages 385-424

On the predictability of stock returns: An asset-allocation perspective

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0040898734     PISSN: 00221082     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1540-6261.1996.tb02689.x     Document Type: Review
Times cited : (436)

References (61)
  • 6
    • 84977723932 scopus 로고
    • Economic significance of predictable variations in stock index returns
    • Breen, William, Lawrence R. Glosten, and Ravi Jagannathan, 1989, Economic significance of predictable variations in stock index returns, Journal of Finance 44, 1177-1189.
    • (1989) Journal of Finance , vol.44 , pp. 1177-1189
    • Breen, W.1    Glosten, L.R.2    Jagannathan, R.3
  • 9
    • 0001403517 scopus 로고
    • Optimal portfolio choice under uncertainty: A Bayesian approach
    • Vijay S. Bawa, Stephen J. Brown, and Roger W. Klein, Eds: North-Holland, Amsterdam
    • Brown Stephen J., 1979, Optimal portfolio choice under uncertainty: A Bayesian approach, in Vijay S. Bawa, Stephen J. Brown, and Roger W. Klein, Eds: Estimation Risk and Optimal Portfolio Choice (North-Holland, Amsterdam).
    • (1979) Estimation Risk and Optimal Portfolio Choice
    • Brown, S.J.1
  • 10
    • 0000433727 scopus 로고
    • A variance decomposition for stock returns
    • Campbell, John Y., 1991, A variance decomposition for stock returns, Economic Journal 101, 157-179.
    • (1991) Economic Journal , vol.101 , pp. 157-179
    • Campbell, J.Y.1
  • 11
    • 84944835096 scopus 로고
    • Asset pricing in a production economy with incomplete information
    • Detemple, Jerome, 1986, Asset pricing in a production economy with incomplete information, Journal of Finance 41, 383-391.
    • (1986) Journal of Finance , vol.41 , pp. 383-391
    • Detemple, J.1
  • 12
    • 0009186749 scopus 로고
    • Equilibrium interest rates and multiperiod bonds in a partially observable economy
    • Dothan, Michael U., and David Feldman, 1986, Equilibrium interest rates and multiperiod bonds in a partially observable economy, Journal of Finance 41, 369-382.
    • (1986) Journal of Finance , vol.41 , pp. 369-382
    • Dothan, M.U.1    Feldman, D.2
  • 13
    • 0002056097 scopus 로고
    • Dividend yields and expected stock returns
    • Fama, Eugene F., and Kenneth R. French, 1988, Dividend yields and expected stock returns, Journal of Financial Economics 22, 3-25.
    • (1988) Journal of Financial Economics , vol.22 , pp. 3-25
    • Fama, E.F.1    French, K.R.2
  • 14
    • 84977724655 scopus 로고
    • The term structure of interest rates in a partially observable economy
    • Feldman, David, 1989, The term structure of interest rates in a partially observable economy, Journal of Finance 44, 789-812.
    • (1989) Journal of Finance , vol.44 , pp. 789-812
    • Feldman, D.1
  • 15
    • 21144479081 scopus 로고
    • Logarithmic preferences, myopic decisions, and incomplete information
    • Feldman, David, 1992, Logarithmic preferences, myopic decisions, and incomplete information, Journal of Financial and Quantitative Analysis 27, 619-629.
    • (1992) Journal of Financial and Quantitative Analysis , vol.27 , pp. 619-629
    • Feldman, D.1
  • 18
    • 85033754911 scopus 로고
    • Working paper, University of Iowa and Duke University
    • 2, Working paper, University of Iowa and Duke University.
    • (1994) 2
    • Douglas, F.F.1    Smith, T.2
  • 21
    • 84944832936 scopus 로고
    • Optimal portfolio choice under incomplete information
    • Gennotte, Gerard, 1986, Optimal portfolio choice under incomplete information, Journal of Finance 41, 733-746.
    • (1986) Journal of Finance , vol.41 , pp. 733-746
    • Gennotte, G.1
  • 22
    • 21844493506 scopus 로고
    • A longer look at dividend yields
    • Goetzmann, William N., and Philippe Jorion, 1995, A longer look at dividend yields, Journal of Business 68, 483-508.
    • (1995) Journal of Business , vol.68 , pp. 483-508
    • Goetzmann, W.N.1    Jorion, P.2
  • 24
    • 0003410290 scopus 로고
    • Princeton University Press, Princeton
    • Hamilton, James D., 1994, Time Series Analysis (Princeton University Press, Princeton).
    • (1994) Time Series Analysis
    • Hamilton, J.D.1
  • 25
    • 0000789996 scopus 로고
    • Dividend yields and expected stock returns: Alternative procedures for inference and measurement
    • Hodrick, Robert J., 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies 5, 357-386.
    • (1992) Review of Financial Studies , vol.5 , pp. 357-386
    • Hodrick, R.J.1
  • 30
    • 0000662045 scopus 로고
    • International portfolio diversification with estimation risk
    • Jorion, Philippe, 1985, International portfolio diversification with estimation risk, Journal of Business 58, 259-278.
    • (1985) Journal of Business , vol.58 , pp. 259-278
    • Jorion, P.1
  • 32
    • 0010055124 scopus 로고
    • Bayesian and CAPM estimators of the means: Implications for portfolio selection
    • Jorion, Philippe, 1991, Bayesian and CAPM estimators of the means: Implications for portfolio selection, Journal of Banking and Finance 15, 717-728.
    • (1991) Journal of Banking and Finance , vol.15 , pp. 717-728
    • Jorion, P.1
  • 34
    • 0041077413 scopus 로고
    • Long-horizon returns and short-horizon models
    • University of Chicago
    • Kandel, Shmuel, and Robert F. Stambaugh, 1987, Long-horizon returns and short-horizon models, CRSP Working paper 222, University of Chicago.
    • (1987) CRSP Working Paper , vol.222
    • Kandel, S.1    Stambaugh, R.F.2
  • 35
  • 36
    • 84986870200 scopus 로고
    • A note on utility maximization under partial observations
    • Karatzas, Ionnis, and Xing-Xiong Xue, 1991, A note on utility maximization under partial observations, Mathematical Finance 1, 57-70.
    • (1991) Mathematical Finance , vol.1 , pp. 57-70
    • Karatzas, I.1    Xue, X.-X.2
  • 38
    • 46149129689 scopus 로고
    • Predicting returns in the stock and bond markets
    • Keim, Donald B., and Robert F. Stambaugh, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics 17, 357-390.
    • (1986) Journal of Financial Economics , vol.17 , pp. 357-390
    • Keim, D.B.1    Stambaugh, R.F.2
  • 41
    • 0001599381 scopus 로고
    • The effect of estimation risk on optimal portfolio choice
    • Klein, Roger W., and Vijay S. Bawa, 1976, The effect of estimation risk on optimal portfolio choice, Journal of Financial Economics 3, 215-231.
    • (1976) Journal of Financial Economics , vol.3 , pp. 215-231
    • Klein, R.W.1    Bawa, V.S.2
  • 42
    • 0040483337 scopus 로고
    • Model selection when there is minimal prior information
    • Klein, Roger W., and Stephen J. Brown, 1984, Model selection when there is minimal prior information, Econometrica 52, 1291-1312.
    • (1984) Econometrica , vol.52 , pp. 1291-1312
    • Klein, R.W.1    Brown, S.J.2
  • 45
    • 0000810338 scopus 로고
    • A statistical paradox
    • Lindley, D. V., 1957, A statistical paradox, Biometrika 44, 187-192.
    • (1957) Biometrika , vol.44 , pp. 187-192
    • Lindley, D.V.1
  • 48
    • 38249018068 scopus 로고
    • Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory
    • McCulloch, Robert, and Peter E. Rossi, 1990, Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory, Journal of Financial Economics 28, 7-38.
    • (1990) Journal of Financial Economics , vol.28 , pp. 7-38
    • McCulloch, R.1    Rossi, P.E.2
  • 49
    • 0000314740 scopus 로고
    • Lifetime portfolio selection under uncertainty: The continuous-time case
    • Merton, Robert C., 1969, Lifetime portfolio selection under uncertainty: The continuous-time case, Review of Economics and Statistics 51, 247-257.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.C.1
  • 50
    • 84993914996 scopus 로고
    • Predictable stock returns: The role of small sample bias
    • Nelson, Charles R., and Myung J. Kim, 1993, Predictable stock returns: The role of small sample bias, Journal of Finance 48, 641-661.
    • (1993) Journal of Finance , vol.48 , pp. 641-661
    • Nelson, C.R.1    Kim, M.J.2
  • 52
    • 49549135545 scopus 로고
    • The arbitrage theory of capital asset pricing
    • Ross, Stephen A., 1976, The arbitrage theory of capital asset pricing, Journal of Economic Theory 13, 341-360.
    • (1976) Journal of Economic Theory , vol.13 , pp. 341-360
    • Ross, S.A.1
  • 53
    • 0002940613 scopus 로고
    • Dividend yields are equity risk premiums
    • Fall
    • Rozeff, Michael, 1984, Dividend yields are equity risk premiums, Journal of Portfolio Management 11, Fall, 68-75.
    • (1984) Journal of Portfolio Management , vol.11 , pp. 68-75
    • Rozeff, M.1
  • 54
    • 0000817912 scopus 로고
    • Information criteria for discriminating among alternative regression models
    • Sawa, Takamitsu, 1978, Information criteria for discriminating among alternative regression models, Econometrica 46, 1273-1291.
    • (1978) Econometrica , vol.46 , pp. 1273-1291
    • Sawa, T.1
  • 55
    • 0000120766 scopus 로고
    • Estimating the dimension of a model
    • Schwarz, Gideon, 1978, Estimating the dimension of a model, Annals of Statistics 6, 461-464.
    • (1978) Annals of Statistics , vol.6 , pp. 461-464
    • Schwarz, G.1
  • 56
    • 33244497476 scopus 로고
    • A Bayesian approach to testing portfolio efficiency
    • Shanken, Jay, 1987, A Bayesian approach to testing portfolio efficiency, Journal of Financial Economics 19, 195-215.
    • (1987) Journal of Financial Economics , vol.19 , pp. 195-215
    • Shanken, J.1
  • 57
    • 0002629437 scopus 로고
    • The performance of international asset allocation strategies using conditioning information
    • Solnik, Bruno, 1993, The performance of international asset allocation strategies using conditioning information, Journal of Empirical Finance 1, 33-55.
    • (1993) Journal of Empirical Finance , vol.1 , pp. 33-55
    • Solnik, B.1
  • 58
    • 0003616269 scopus 로고
    • Bias in regressions with lagged stochastic regressors
    • University of Chicago
    • Stambaugh, Robert F., 1986, Bias in regressions with lagged stochastic regressors, CRSP Working paper 156, University of Chicago.
    • (1986) CRSP Working Paper , vol.156
    • Stambaugh, R.F.1
  • 61
    • 0000627474 scopus 로고
    • Prediction and decision problems in regression models from the Bayesian point of view
    • Zellner, Arnold, and V. Karuppan Chetty, 1965, Prediction and decision problems in regression models from the Bayesian point of view, Journal of the American Statistical Association 60, 608-616.
    • (1965) Journal of the American Statistical Association , vol.60 , pp. 608-616
    • Zellner, A.1    Chetty, V.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.