Predictive regressions: A present-value approach

Journal of Finance

Volumn 65, Issue 4, 2010, Pages 1439-1471

  Van Binsbergen, Jules H ^a   Koijen, Ralph S J ^b  

^a STANFORD UNIVERSITY   (United States)

^b UNIVERSITY OF CHICAGO   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77955140287     PISSN: 00221082     EISSN: 15406261     Source Type: Journal    
DOI: 10.1111/j.1540-6261.2010.01575.x     Document Type: Article

References (37)

1. Ang Andrew, Bekaert Geert. Stock return predictability, Is it there. Review of Financial Studies 2007, 20:651-707.
2. Ang Andrew, Liu Jun. How to discount cashflows with time-varying expected returns. Journal of Finance 2004, 59:2745-2783.
3. Bansal Ravi, Yaron Amir. Risk for the long-run: A potential resolution of asset pricing puzzles. Journal of Finance 2004, 59:1481-1509.
4. Bekaert Geert, Engstron Eric, Grenadier Steven R. Stock and bond pricing in an affine economy. 2001, NBER Working paper no. 7346
5. Bekaert Geert, Engstron Eric, Grenadier Steven R. Stock and bond returns with moody investors. 2005, Working paper, Columbia University
6. Binsbergen Jules H van, Koijen Ralph SJ. Likelihood-based estimation of exactly-solved present-value models. 2010, Working paper, Stanford Graduate School of Business and Chicago Booth School of Business
7. Brandt Michael W, Kang Qiang. On the relation between the conditional mean and volatility of stock returns: A latent VAR approach, Journal of Finacial Economics. 2004, 72:217-257.
8. Brennan MJ, Xia Y. Persistence, predictability, and portfolio planning. 2005, Working paper, UCLA
9. Burnside Craig. Solving asset pricing models with Gaussian shocks. Journal of Financial Economic Dynamics and Control 1998, 22:329-340.
10. Campbell John Y. A variance decomposition for stock returns. Economic Journal 1991, 101:157-179.
11. Campbell John, Y, Cochrane John H. By force of habit: A consumption-based explanation of aggregate stock market behavior. Journal of Political Economy 1999, 107:205-251.
12. Campbell John, Y, Shiller Robert J. The dividend-price ratio and expectations of future dividends and discount factors. Review of Financial Studies 1988, 1:195-227.
13. Cambell John, Y, Thompson Samuel. Predicting excess stock returns out of sample: Can anything beat the historical average. Review of Financial Studies 2008, 21:1509-1531.
14. Chen Long. On the reversal of return and dividend predictability. Journal of Financial Economics 2009, 92:128-151.
15. Cochrane John H. Permanent and transitory components of GDP and stock prices. Quarterly Journal of Economics 1994, 109:241-265.
16. Cochrane John H. The dog that did not bark: A defense of return predictability. Review of Financial Studies 2008a, 21:1533-1575.
17. Cochrane John H. State-space vs. VAR models for stock returns. 2008b, Working paper, Chicago Booth
18. Fama Eugene F, French Kenneth R. Dividend yields and expected stock returns. Journal of Financial Economics 1988, 22:3-27.
19. Ferson Wayne E, Sarkissian Sergei, Simin Timothy T. Spurious regressions in financial economics. Journal of Finance 2003, 58:1393-1413.
20. Gabaix Xavier. Linearity-generating processes: A modelling tool yielding closed forms for asset prices. 2009, Working paper, NYU Stern
21. Goetzmann William N, Jorion Philippe. A longer look at dividend yields. Journal of Business 1995, 68:483-508.
22. Goffee William L, Ferrier Gary D, Rogers John. Global optimization of statistical functions with simulated annealing. Journal of Econometrics 1994, 60:65-99.
23. Goyal Amit, Welch Ivo. A comprehensize look at the empirical performance of the equity premium prediction. Review of Financial Studies 2006, 21:1455-1508.
24. Hamilton James D. Time Series Analysis 1994, Princeton University Press, Princeton, NY
25. Hansen Lars P, Heaton John C, Li Nan. Consumption strikes back? Measuring long-run risk. Journal of Political Economy 2008, 116:260-302.
26. Harvey Andrew. Forecasting, Structural Time Series Models and the Kalman Filter 1989, Cambridge University Press, Cambridge, UK
27. Julier S J, Uhlmann J K. A new extension of the Kalman filter to nonlinear systems. Proceedings SPIE Signal Pricessing, Sensor Fusion, and Target Recognition VI 1997, 3068:182-193.
28. Lettau Martin, Ludvigson Sydney C. Expected returns and expected dividend growth. Journal of Finanical Economics 2005, 76:583-626.
29. Lettau Martin, Van Nieuwerburgh Stijn. Reconciling the return predictability evidence. Review of Financial Studies 2008, 21:1607-1652.
30. Lewellen Jonathan W. Predicting returns with financial ratios. Journal of Financial Economics 2004, 74:209-235.
31. Menzly Lior, Santos Tano, Veronesi Pietro. Understanding predicatability. Journal of Political Economy 2004, 112:1-47.
32. Pástor Lubos, Sinha Meenakshi, Swaminathan Bhaskaran. Estimating the intertemporal risk-return tradeoff using the implied cost of capital. Journal of Finance 2008, 63:2859-2897.
33. Pástor Lubos, Stambaugh Robert F. Predictive systems: Living with imperfect predictors. Journal of Finance 2009, 64:1583-1628.
34. Pástor Lubos, Veronesi Pietro. Stock valuation and learning about profitability. Journal of Finance 2003, 58:1749-1789.
35. Pástor Lubos, Veronesi Pietro. Was there a NASDAQ bubble in the late 1990s. Journal of Financial Economics 2006, 81:61-100.
36. Rytchkov Oleg. Filtering out expected dividends and expected returns. 2007, Working paper, Temple University
37. Stambaugh Robert F. Predictive regressions. Journal of Financial Economics 1999, 54:375-421.