haku: @author Wadhwani, S. / yhteensä: 8
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| Tekijä: | Sentana, E. Wadhwani, S. |
| Otsikko: | Semi-parametric estimation and the predictability of stock market returns: Some lessons from Japan. |
| Lehti: | Review of Economic Studies
1991 : MAY, VOL. 58:195, p. 547-563 |
| Asiasana: | STOCK MARKETS RATE OF RETURN JAPAN |
| Kieli: | eng |
| Tiivistelmä: | There is growing evidence for the view that stock market returns are predictable. It is attempted to explore whether lagged variables that help predict stock returns are merely prorying for mis-measured risk. Therefore, three different ways of measuring risk are employed (that is semi-parametric, GARCH and lagged squared returns). In an application to Japanese data, four key predictor variables are shown to have non-trivial additional forecasting power irrespective of how we measure risk. Interestingly, unlike the USA, the level of the lagged dividend yield it not positively correlated with returns in either Japan or South Korea. |
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