Filtering Out Expected Dividends and Expected Returns

IF 0.9 Q3 BUSINESS, FINANCE
O. Rytchkov
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引用次数: 54

Abstract

This paper applies a state space approach to the analysis of stock return predictability. It acknowledges that expected returns and expected dividends are unobservable and uses the Kalman filter to extract them from the observed history of realized dividends and returns. The suggested approach explicitly takes into account the time variation in expected dividend growth rates and exploits the present value relation. The obtained predictors for future returns are robust to structural breaks in the means of expected dividends and returns and more efficient than the dividend–price ratio. The likelihood ratio test reliably rejects the hypothesis of constant expected returns.
过滤掉预期股息和预期回报
本文将状态空间方法应用于股票收益可预测性分析。它承认预期收益和预期股息是不可观察的,并使用卡尔曼滤波器从观察到的已实现股息和回报的历史中提取它们。建议的方法明确考虑了预期股息增长率的时间变化,并利用了现值关系。所得的未来收益预测因子对预期股息和收益的结构性断裂具有鲁棒性,并且比股息价格比更有效。似然比检验可靠地拒绝了期望收益不变的假设。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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来源期刊
Quarterly Journal of Finance
Quarterly Journal of Finance BUSINESS, FINANCE-
CiteScore
1.10
自引率
0.00%
发文量
0
期刊介绍: The Quarterly Journal of Finance publishes high-quality papers in all areas of finance, including corporate finance, asset pricing, financial econometrics, international finance, macro-finance, behavioral finance, banking and financial intermediation, capital markets, risk management and insurance, derivatives, quantitative finance, corporate governance and compensation, investments and entrepreneurial finance.
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