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Test of Return Predictability: A New Two-Step Procedure
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주제분류경제학
초록
Predictive regressions are subject to finite sample bias. We propose a new twostep procedure to make correct inference for predictive regressions. Simulation results show that our procedure performs better than the existing two-step procedure in eliminating the bias and size distortion of the conventional t-test. We apply this procedure and find that dividend yield has lost predictive power for return since the early 1990s.
Abstract
Predictive regressions are subject to finite sample bias. We propose a new twostep procedure to make correct inference for predictive regressions. Simulation results show that our procedure performs better than the existing two-step procedure in eliminating the bias and size distortion of the conventional t-test. We apply this procedure and find that dividend yield has lost predictive power for return since the early 1990s.
참고문헌 (26)
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