Harvard Institute of Economic Research Discussion Paper Number 1972 Efficient Tests of Stock Return Predictability by John Y . Campbell and Motohiro Yogo September 2002

@inproceedings{Campbell2002HarvardIO,
  title={Harvard Institute of Economic Research Discussion Paper Number 1972 Efficient Tests of Stock Return Predictability by John Y . Campbell and Motohiro Yogo September 2002},
  author={John Y. Campbell and Motohiro Yogo},
  year={2002}
}
Empirical studies have suggested that stock returns can be predicted by financial variables such as the dividend-price ratio. However, these studies typically ignore the high persistence of predictor variables, which can make first-order asymptotics a poor approximation in finite samples. Using a more accurate asymptotic approximation, we propose two methods to deal with the persistence problem. First, we develop a pretest that determines when the conventional t-test for predictability is… CONTINUE READING
Highly Influential
This paper has highly influenced 32 other papers. REVIEW HIGHLY INFLUENTIAL CITATIONS
82 Citations
23 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 23 references

Limiting distributions of least squares estimates of unstable autoregressive processes

  • N. H. Chan, C. Z. Wei
  • Annals of Statistics
  • 1988
Highly Influential
1 Excerpt

Some Theoretical Problems Suggested by the Movements of Interest Rates, Bond Yields, and Stock Prices in the United States Since 1856 (National Bureau of Economic Research: New York)

  • F. R. Macaulay
  • 1938
Highly Influential
3 Excerpts

Testing the predictability of stock returns

  • Lanne, Markku
  • The Review of Economics and Statistics
  • 2002

On predicting stock returns with nearly integrated explanatory variables, Working paper, The Anderson School, UCLA

  • Torous, Walter, Rossen Valkanov, Shu Yan
  • 2001

Irrational Exuberance (Princeton University Press: Princeton, NJ)

  • Shiller, J Robert
  • 2000

Convergence of Probability Measures . Wiley Series in Probability and Statistics

  • Billingsley, Patrick
  • 1999

New facts in finance, NBER Working Paper 7169

  • Cochrane, H John
  • 1999

Similar Papers

Loading similar papers…