Efficient tests of stock return predictability

• 成果类型: Article
• 署名作者: Campbell, John Y.; Yogo, Motohiro
• 署名单位: University of Pennsylvania; Harvard University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.008
• 发表日期: 2006
• 页码: 27-60
• 关键词: Bonferroni test; Dividend yield; predictability; stock returns; Unit root

摘要

Conventional tests of the predictability of stock returns could be invalid, that is reject the null too frequently, when the predictor variable is persistent and its innovations are highly correlated with returns. We develop a pretest to determine whether the conventional t-test leads to invalid inference and an efficient test of predictability that corrects this problem. Although the conventional t-test is invalid for the dividend-price and smoothed earnings-price ratios, our test finds evidence for predictability. We also find evidence for predictability with the short rate and the long-short yield spread, for which the conventional t-test leads to valid inference. (c) 2005 Elsevier B.V. All rights reserved.