메뉴 건너뛰기




Volumn 17, Issue 3, 2004, Pages 699-738

Stock return predictability and asset pricing models

Author keywords

[No Author keywords available]

Indexed keywords


EID: 4344711664     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/hhg059     Document Type: Article
Times cited : (92)

References (55)
  • 1
    • 0036335816 scopus 로고    scopus 로고
    • Stock return predictability and model uncertainty
    • Avramov, D., 2002, "Stock Return Predictability and Model Uncertainty," Journal of Financial Economics, 64, 423-458.
    • (2002) Journal of Financial Economics , vol.64 , pp. 423-458
    • Avramov, D.1
  • 2
    • 4344659432 scopus 로고    scopus 로고
    • An exact bayes test of asset pricing models with application to international markets
    • forthcoming in
    • Avramov, D., and J. Chao, 2003, "An Exact Bayes Test of Asset Pricing Models with Application to International Markets," forthcoming in Journal of Business.
    • (2003) Journal of Business
    • Avramov, D.1    Chao, J.2
  • 3
    • 0039179796 scopus 로고    scopus 로고
    • Investing for the long run when returns are predictable
    • Barberis, N., 2000, "Investing for the Long Run When Returns are Predictable," Journal of Finance, 55, 225-264.
    • (2000) Journal of Finance , vol.55 , pp. 225-264
    • Barberis, N.1
  • 6
    • 0001183078 scopus 로고
    • On the sensitivity of mean-variance-efficient portfolios to changes in asset means: Some analytical and computational results
    • Best, M. J., and R. R. Grauer, 1991, "On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results," Review of Financial Studies, 4, 315-342.
    • (1991) Review of Financial Studies , vol.4 , pp. 315-342
    • Best, M.J.1    Grauer, R.R.2
  • 7
    • 0001366584 scopus 로고
    • Capital market equilibrium with restricted borrowing
    • Black, F., 1972, "Capital Market Equilibrium with Restricted Borrowing," Journal of Business, 45, 444-454.
    • (1972) Journal of Business , vol.45 , pp. 444-454
    • Black, F.1
  • 8
    • 0002461190 scopus 로고
    • Global portfolio optimization
    • Black, F., and R. Litterman, 1992, "Global Portfolio Optimization," Financial Analyst Journal, September-October 28-43.
    • (1992) Financial Analyst Journal , vol.SEPTEMBER-OCTOBER , pp. 28-43
    • Black, F.1    Litterman, R.2
  • 9
    • 0009713512 scopus 로고
    • An intertemporal asset pricing model with stochastic consumption and investment opportunities
    • Breeden, D. T., 1979, "An Intertemporal Asset Pricing Model with Stochastic Consumption and Investment Opportunities," Journal of Financial Economics, 7, 265-296.
    • (1979) Journal of Financial Economics , vol.7 , pp. 265-296
    • Breeden, D.T.1
  • 10
    • 0344839169 scopus 로고
    • Stock returns and the term structure
    • Campbell, J., 1987, "Stock Returns and the Term Structure," Journal of Financial Economics, 18, 373-399.
    • (1987) Journal of Financial Economics , vol.18 , pp. 373-399
    • Campbell, J.1
  • 11
    • 0000735805 scopus 로고    scopus 로고
    • Understanding risk and return
    • Campbell, J., 1996, "Understanding Risk and Return," Journal of Political Economy, 104, 572-621.
    • (1996) Journal of Political Economy , vol.104 , pp. 572-621
    • Campbell, J.1
  • 12
    • 0002624840 scopus 로고    scopus 로고
    • On the persistence in mutual fund performance
    • Carhart, M. M., 1997, "On the Persistence in Mutual Fund Performance," Journal of Finance, 52, 57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.M.1
  • 13
    • 0000496978 scopus 로고
    • Economic forces and the stock market
    • Chen, N. F., R. Roll, and S. Ross, 1986, "Economic Forces and the Stock Market," Journal of Business, 59, 383-404.
    • (1986) Journal of Business , vol.59 , pp. 383-404
    • Chen, N.F.1    Roll, R.2    Ross, S.3
  • 14
    • 0030452013 scopus 로고    scopus 로고
    • A cross-sectional test of an investment-based asset pricing model
    • Cochrane, J. H., 1996, "A Cross-Sectional Test of an Investment-Based Asset Pricing Model," Journal of Political Economy, 104, 572-621.
    • (1996) Journal of Political Economy , vol.104 , pp. 572-621
    • Cochrane, J.H.1
  • 15
    • 21144460351 scopus 로고
    • An intertemporal equilibrium beta pricing model
    • Connor, G., and R. Korajczyk, 1989, "An Intertemporal Equilibrium Beta Pricing Model," Review of Financial Studies, 2, 373-392.
    • (1989) Review of Financial Studies , vol.2 , pp. 373-392
    • Connor, G.1    Korajczyk, R.2
  • 16
    • 84993912194 scopus 로고
    • Expected returns, time-varying risk, and risk premia
    • Evans, M. D., 1994, "Expected Returns, Time-Varying Risk, and Risk Premia," Journal of Finance, 69, 655-679.
    • (1994) Journal of Finance , vol.69 , pp. 655-679
    • Evans, M.D.1
  • 17
    • 0030376325 scopus 로고    scopus 로고
    • Multifactor efficiency and multifactor asset pricing
    • Fama, E., 1996, "Multifactor Efficiency and Multifactor Asset Pricing," Journal of Financial and Quantitative Analysis, 31, 441-465.
    • (1996) Journal of Financial and Quantitative Analysis , vol.31 , pp. 441-465
    • Fama, E.1
  • 18
    • 38549147867 scopus 로고
    • Common risk factors in the returns on stock and bonds
    • Fama, E., and K. French, 1993, "Common Risk Factors in the Returns on Stock and Bonds," Journal of Financial Economics, 33, 3-56.
    • (1993) Journal of Financial Economics , vol.33 , pp. 3-56
    • Fama, E.1    French, K.2
  • 19
    • 84934453931 scopus 로고
    • The variation in economic risk premiums
    • Ferson, W., and C. Harvey, 1991, "The Variation in Economic Risk Premiums," Journal of Political Economy, 99, 385-415.
    • (1991) Journal of Political Economy , vol.99 , pp. 385-415
    • Ferson, W.1    Harvey, C.2
  • 20
    • 0009888594 scopus 로고    scopus 로고
    • Conditioning variables and the cross section of stock returns
    • Ferson, W., and C. Harvey, 1999, "Conditioning Variables and the Cross Section of Stock Returns," Journal of Finance, 54, 1325-1360.
    • (1999) Journal of Finance , vol.54 , pp. 1325-1360
    • Ferson, W.1    Harvey, C.2
  • 21
    • 0010802816 scopus 로고
    • Do arbitrage pricing models explain the predictability of stock returns?
    • Ferson, W., and R. Korajczyk, 1995, "Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?" Journal of Business, 68, 309-349.
    • (1995) Journal of Business , vol.68 , pp. 309-349
    • Ferson, W.1    Korajczyk, R.2
  • 22
    • 0001534103 scopus 로고
    • A test of the efficiency of a given portfolio
    • Gibbons, M. R., S. A. Ross, and J. Shanken, 1989, "A Test of the Efficiency of a Given Portfolio," Econometrica, 57, 1121-1152.
    • (1989) Econometrica , vol.57 , pp. 1121-1152
    • Gibbons, M.R.1    Ross, S.A.2    Shanken, J.3
  • 23
    • 84993924627 scopus 로고
    • When will mean-variance efficient portfolios be well diversified?
    • Green, R., and B. Hollifield, 1992, "When Will Mean-Variance Efficient Portfolios be Well Diversified?," Journal of Finance, 47, 1785-1809.
    • (1992) Journal of Finance , vol.47 , pp. 1785-1809
    • Green, R.1    Hollifield, B.2
  • 24
    • 0000414660 scopus 로고
    • Large sample properties of generalized method of moments estimators
    • Hansen, L. P., 1982, "Large Sample Properties of Generalized Method of Moments Estimators", Econometrica, 50, 1029-1054.
    • (1982) Econometrica , vol.50 , pp. 1029-1054
    • Hansen, L.P.1
  • 26
    • 38249019142 scopus 로고
    • Bayesian inference in asset pricing tests
    • Harvey, C., and G. Zhou, 1990, "Bayesian Inference in Asset Pricing Tests," Journal of Financial Economics, 26, 221-254.
    • (1990) Journal of Financial Economics , vol.26 , pp. 221-254
    • Harvey, C.1    Zhou, G.2
  • 27
    • 84993907227 scopus 로고
    • Returns to buying winners and selling losers: Implications for stock-market efficiency
    • Jegadeesh, N., and S. Titman, 1993, "Returns to Buying Winners and Selling Losers: Implications for Stock-Market Efficiency," Journal of Finance, 48, 65-91.
    • (1993) Journal of Finance , vol.48 , pp. 65-91
    • Jegadeesh, N.1    Titman, S.2
  • 29
    • 0000125532 scopus 로고
    • Prospect theory: An analysis of decision under risk
    • Kahneman, D., and A. Tversky, 1979, "Prospect Theory: An Analysis of Decision Under Risk," Econometrica, 47, 263-291.
    • (1979) Econometrica , vol.47 , pp. 263-291
    • Kahneman, D.1    Tversky, A.2
  • 30
    • 0039442984 scopus 로고    scopus 로고
    • A critique on the stochastic discount factor methodology
    • Kan, R., and G. Zhou, 1999, "A Critique on the Stochastic Discount Factor Methodology," Journal of Finance, 54, 1221-1248.
    • (1999) Journal of Finance , vol.54 , pp. 1221-1248
    • Kan, R.1    Zhou, G.2
  • 31
    • 0040898734 scopus 로고    scopus 로고
    • On the predictability of stock returns: An asset allocation perspective
    • Kandel, S., and R. Stambaugh, 1996, "On the Predictability of Stock Returns: An Asset allocation Perspective," Journal of Finance, 51, 385-424.
    • (1996) Journal of Finance , vol.51 , pp. 385-424
    • Kandel, S.1    Stambaugh, R.2
  • 32
    • 0032376602 scopus 로고    scopus 로고
    • The restriction on predictability implied by rational asset pricing models
    • Kirby, C., 1998, "The Restriction on Predictability Implied by Rational Asset Pricing Models," Review of Financial Studies, 11, 343-382.
    • (1998) Review of Financial Studies , vol.11 , pp. 343-382
    • Kirby, C.1
  • 33
    • 0035681734 scopus 로고    scopus 로고
    • Resurrecting the (C)CAPM: A cross sectional test when risk premia are time-varying
    • Lettau, M., and S. Ludvigson, 2001, "Resurrecting the (C)CAPM: A Cross Sectional Test When Risk Premia are Time-Varying," Journal of Political Economy, 109, 1238-1287.
    • (2001) Journal of Political Economy , vol.109 , pp. 1238-1287
    • Lettau, M.1    Ludvigson, S.2
  • 34
    • 4344609597 scopus 로고    scopus 로고
    • Confidence in the familiar: An international perspective
    • forthcoming in
    • Li, K., 2003, "Confidence in the Familiar: An International Perspective," forthcoming in Journal of Financial and Quantitative Analysis.
    • (2003) Journal of Financial and Quantitative Analysis
    • Li, K.1
  • 35
    • 0001561481 scopus 로고
    • Data-snooping biases in tests of financial asset pricing models
    • Lo, A. W., and A. C. MacKinlay, 1990, "Data-Snooping Biases in Tests of Financial Asset Pricing Models," Review of Financial Studies, 3, 431-468.
    • (1990) Review of Financial Studies , vol.3 , pp. 431-468
    • Lo, A.W.1    MacKinlay, A.C.2
  • 36
    • 0007740284 scopus 로고
    • Multifactor models do not explain the CAPM
    • MacKinlay, A. C., 1995, "Multifactor Models do not Explain the CAPM," Journal of Financial Economics, 38, 3-28.
    • (1995) Journal of Financial Economics , vol.38 , pp. 3-28
    • MacKinlay, A.C.1
  • 37
    • 38249018068 scopus 로고
    • Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory
    • McCulloch, R., and P. 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
  • 38
    • 0007117835 scopus 로고
    • A bayesian approach to testing the arbitrage pricing theory
    • McCulloch, R., and P. E. Rossi, 1991, "A Bayesian Approach to Testing the Arbitrage Pricing Theory," Journal of Econometrics, 49, 141-168.
    • (1991) Journal of Econometrics , vol.49 , pp. 141-168
    • McCulloch, R.1    Rossi, P.E.2
  • 40
    • 0001738730 scopus 로고
    • An intertemporal capital asset pricing model
    • Merton, R. C., 1973, "An Intertemporal Capital Asset Pricing Model," Econometrica, 41, 867-887.
    • (1973) Econometrica , vol.41 , pp. 867-887
    • Merton, R.C.1
  • 41
    • 0038957681 scopus 로고    scopus 로고
    • Portfolio selection and asset pricing models
    • Pastor, L., 2000, "Portfolio Selection and Asset Pricing Models," Journal of Finance, 55, 179-223.
    • (2000) Journal of Finance , vol.55 , pp. 179-223
    • Pastor, L.1
  • 42
    • 0040348622 scopus 로고    scopus 로고
    • Costs of equity capital and model mispricing
    • Pastor, L., and R. Stambaugh, 1999, "Costs of Equity Capital and Model Mispricing," Journal of Finance, 54, 67-121.
    • (1999) Journal of Finance , vol.54 , pp. 67-121
    • Pastor, L.1    Stambaugh, R.2
  • 43
    • 0034195524 scopus 로고    scopus 로고
    • Comparing asset pricing models: An investment perspective
    • Pastor, L., and R. Stambaugh, 2000, "Comparing Asset Pricing Models: An Investment Perspective," Journal of Financial Economics, 56, 335-381.
    • (2000) Journal of Financial Economics , vol.56 , pp. 335-381
    • Pastor, L.1    Stambaugh, R.2
  • 45
    • 0002533801 scopus 로고
    • The empirical bayes approach to statistical problems
    • Robbins, H., 1964, "The Empirical Bayes Approach to Statistical Problems," Annals of Mathematical Statistics, 35, 1-20.
    • (1964) Annals of Mathematical Statistics , vol.35 , pp. 1-20
    • Robbins, H.1
  • 46
    • 0000822231 scopus 로고
    • Tests of capital asset pricing hypotheses
    • Rosenberg, B., and V. Marathe, 1979, "Tests of Capital Asset Pricing Hypotheses," Research in Finance, 1, 115-224.
    • (1979) Research in Finance , vol.1 , pp. 115-224
    • Rosenberg, B.1    Marathe, V.2
  • 47
    • 33244497476 scopus 로고
    • A bayesian approach to testing portfolio efficiency
    • Shanken, J., 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
  • 48
    • 0040520434 scopus 로고
    • Intertemporal asset pricing: An empirical investigation
    • Shanken, J., 1990, "Intertemporal Asset Pricing: An Empirical Investigation," Journal of Econometrics, 45, 99-120.
    • (1990) Journal of Econometrics , vol.45 , pp. 99-120
    • Shanken, J.1
  • 49
    • 4344640362 scopus 로고    scopus 로고
    • Risk, mispricing, and asset allocation: Conditioning on dividend yield
    • University of Rochester
    • Shanken, J., and A. Tamayo, 2001, "Risk, Mispricing, and Asset allocation: Conditioning on Dividend Yield," working paper, University of Rochester.
    • (2001) Working Paper
    • Shanken, J.1    Tamayo, A.2
  • 50
    • 4344642822 scopus 로고
    • Macroeconomic variables and asset pricing: Further results
    • University of Rochester
    • Shanken, J., and M. Weinstein, 1990, "Macroeconomic Variables and Asset Pricing: Further Results," working paper, University of Rochester.
    • (1990) Working Paper
    • Shanken, J.1    Weinstein, M.2
  • 51
    • 0000453918 scopus 로고
    • Capital asset prices with and without negative holdings
    • Sharpe, W., 1991, "Capital Asset Prices with and without Negative Holdings," Journal of Finance, 46, 489-509.
    • (1991) Journal of Finance , vol.46 , pp. 489-509
    • Sharpe, W.1
  • 53
    • 4344660095 scopus 로고    scopus 로고
    • Stock return predictability, conditional asset pricing models, and portfolio selection
    • London Business School
    • Tamayo, A., 2002, "Stock Return Predictability, Conditional Asset Pricing Models, and Portfolio Selection," working paper, London Business School.
    • (2002) Working Paper
    • Tamayo, A.1
  • 55
    • 0000627474 scopus 로고
    • Prediction and decision problem in regression models from the bayesian point of view
    • Zellner, A., and V. K. Chetty, 1965, "Prediction and Decision Problem in Regression Models from the Bayesian Point of View," Journal of the American Statistical Association, 60, 608-615.
    • (1965) Journal of the American Statistical Association , vol.60 , pp. 608-615
    • Zellner, A.1    Chetty, V.K.2


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.