Robust Econometric Inference for Stock Return Predictability

• 成果类型: Article
• 署名作者: Kostakis, Alexandros; Magdalinos, Tassos; Stamatogiannis, Michalis P.
• 署名单位: University of Manchester; University of Southampton; University of Bath
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhu139
• 发表日期: 2015
• 页码: 1506
• 关键词: EXPECTED RETURNS; time-series; dividend yields; EFFICIENT TESTS; limit theory; regressions; models; heteroskedasticity; performance; hypothesis

摘要

This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We propose a novel testing procedure that (1) robustifies inference to regressors' degree of persistence, (2) accommodates testing the joint predictive ability of financial variables in multiple regression, (3) is easy to implement as it is based on a linear estimation procedure, and (4) can be used for long-horizon predictability tests. We provide some evidence in favor of short-horizon predictability during the 1927-2012 period. Nevertheless, this evidence almost entirely disappears in the post-1952 period. Moreover, predictability becomes weaker, not stronger, as the predictive horizon increases.