Temporary components of stock returns: What do the data tell us?

• 成果类型: Article
• 署名作者: Lamoureux, CG; Zhou, GF
• 署名单位: Washington University (WUSTL)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/9.4.1033
• 发表日期: 1996
• 页码: 1033
• 关键词: nuisance parameter; bayesian-inference; prices; permanent; models; TRENDS

摘要

Within the past few years several articles have suggested that returns on large equity portfolios may contain a significant predictable component at horizons 3 to 6 years. Subsequently, the tests used in these analyses have been criticized (appropriately)for having widely misunderstood size and power, rendering the conclusions inappropriate. This criticism however has not focused on the data, it addressed the properties of the tests. In this article we adopt a subjectivist analysis - treating the data as fixed - to ascertain whether the data have anything to say about the permanent/temporary decomposition The data speak clearly and they tea us that for all intents and purposes, stock prices follow a random walk.