Payout yield, risk, and mispricing: A Bayesian analysis

• 成果类型: Article
• 署名作者: Shanken, Jay; Tamayo, Ane
• 署名单位: Emory University; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.12.002
• 发表日期: 2012
• 页码: 131-152
• 关键词: Predictability; TIME-VARYING RISK; Mispricing; Bayesian

摘要

We develop a simple parametric model in which hypotheses about predictability, mispricing, and the risk-return tradeoff can be evaluated simultaneously, while allowing for time variation in both risk and expected return. Most of the return predictability based on aggregate payout yield is unrelated to market risk. We consider a range of Bayesian prior beliefs about the risk-return tradeoff and the extent to which predictability is driven by mispricing. The impact of these beliefs on an investor's certainty-equivalent return when choosing between a market index and riskless T-bills is economically significant, in both ex ante and out-of-sample analyses. (C) 2011 Elsevier B.V. All rights reserved.