{"title":"A revisit to bias-adjusted predictive regression","authors":"Ke-Li Xu","doi":"10.1016/j.jempfin.2024.101578","DOIUrl":null,"url":null,"abstract":"<div><div>We consider robust inference of predictive regression based on bias correction. We propose new variance estimators which can accommodate conditionally heteroskedastic and serially correlated errors, and predictors with unspecified dependence structure. We also present a previously overlooked robustness property of the existing variance estimator. Empirically we illustrate the methods with a classical application to stock return and dividend growth predictability.</div></div>","PeriodicalId":15704,"journal":{"name":"Journal of Empirical Finance","volume":"80 ","pages":"Article 101578"},"PeriodicalIF":2.1000,"publicationDate":"2025-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Empirical Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0927539824001129","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
引用次数: 0
Abstract
We consider robust inference of predictive regression based on bias correction. We propose new variance estimators which can accommodate conditionally heteroskedastic and serially correlated errors, and predictors with unspecified dependence structure. We also present a previously overlooked robustness property of the existing variance estimator. Empirically we illustrate the methods with a classical application to stock return and dividend growth predictability.
期刊介绍:
The Journal of Empirical Finance is a financial economics journal whose aim is to publish high quality articles in empirical finance. Empirical finance is interpreted broadly to include any type of empirical work in financial economics, financial econometrics, and also theoretical work with clear empirical implications, even when there is no empirical analysis. The Journal welcomes articles in all fields of finance, such as asset pricing, corporate finance, financial econometrics, banking, international finance, microstructure, behavioural finance, etc. The Editorial Team is willing to take risks on innovative research, controversial papers, and unusual approaches. We are also particularly interested in work produced by young scholars. The composition of the editorial board reflects such goals.