Measuring the predictable variation in stock and bond returns

• 成果类型: Article
• 署名作者: Kirby, C
• 署名单位: Rice University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/10.3.579
• 发表日期: 1997
• 页码: 579
• 关键词: DIVIDEND YIELDS; Expected returns; mean reversion; asset returns; RISK PREMIUMS; heteroskedasticity; MARKETS; equity

摘要

Recent studies show that when a regression model is used to forecast stock: and bond returns, the sample R-2 increases dramatically with the length of the return horizon These studies argue, therefore, that long-horizon returns are highly predictable. This article presents evidence that suggests otherwise. Long-horizon regressions can easily yield large values of the sample R-2, even if the population R-2 is small or zero. Moreover, long-horizon regressions with a small or zero population R-2 can produce t-ratios that might be interpreted as evidence of strong predictability. In general the analysis provides little support for the view, that long-horizon returns are highly predictable.