Predictive Systems: Living with Imperfect Predictors

• 成果类型: Article
• 署名作者: Pastor, Lubos; Stambaugh, Robert F.
• 署名单位: University of Chicago; National Bureau of Economic Research; University of Pennsylvania
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2009.01474.x
• 发表日期: 2009
• 页码: 1583-1628
• 关键词: stock return predictability; mutual fund performance; variance decomposition; dividend yields; equity premium; RISK; sample; inference; models; tests

摘要

We develop a framework for estimating expected returns-a predictive system-that allows predictors to be imperfectly correlated with the conditional expected return. When predictors are imperfect, the estimated expected return depends on past returns in a manner that hinges on the correlation between unexpected returns and innovations in expected returns. We find empirically that prior beliefs about this correlation, which is most likely negative, substantially affect estimates of expected returns as well as various inferences about predictability, including assessments of a predictor's usefulness. Compared to standard predictive regressions, predictive systems deliver different expected returns with higher estimated precision.