Empirical Asset Pricing III最新文献

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The Optimal Use of Return Predictability: An Empirical Analysis 收益可预测性的最优利用:一个实证分析

Empirical Asset Pricing III Pub Date : 2005-02-28 DOI: 10.2139/ssrn.677009

Abhay Abhyankar, D. Basu, A. Stremme

{"title":"The Optimal Use of Return Predictability: An Empirical Analysis","authors":"Abhay Abhyankar, D. Basu, A. Stremme","doi":"10.2139/ssrn.677009","DOIUrl":"https://doi.org/10.2139/ssrn.677009","url":null,"abstract":"In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables. We assess the performance of actively managed portfolios strategies which optimally exploit such predictability, both in-sample as well as out-of-sample. Such strategies were first studied by Hansen and Richard (1987) and Ferson and Siegel 2001. Our criterion is to maximize various ex-post performance measures, including maximum Sharpe ratio, utility premia, and transaction costs. We develop a test statistic, based on the difference in maximum Sharpe ratio, that has both an intuitive economic interpretation as well as known statistical properties. We are thus able to assess the statistical significance of the economic gains from predictability. Our analysis allows us to compare and rank different predictor variables and also groups of predictor variables. \u0000 \u0000Overall we find that the optimal use of conditioning information does indeed significantly improve the risk-return tradeoff available to a mean-variance investor, relative to traditional buy-and-hold strategies. These findings are consistent across the different performance measures employed. \u0000 \u0000In addition we also compare the performance of the unconditionally efficient strategies with conditionally efficient strategies from an investment-based perspective. We find that the performance of the two strategies is quite different due to the differing response of the portfolio weights to changes in conditioning information.","PeriodicalId":107326,"journal":{"name":"Empirical Asset Pricing III","volume":"25 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-02-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"117132802","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 10

Examining the Statistical Properties of Financial Ratios 检验财务比率的统计性质

Empirical Asset Pricing III Pub Date : 2005-01-27 DOI: 10.2139/ssrn.676832

C. Hansen, Bjorn Tuypens

{"title":"Examining the Statistical Properties of Financial Ratios","authors":"C. Hansen, Bjorn Tuypens","doi":"10.2139/ssrn.676832","DOIUrl":"https://doi.org/10.2139/ssrn.676832","url":null,"abstract":"This paper focuses on two popular predictive variables that are often used to forecast stock market returns: the dividend yield and the price earnings ratio. First, we question the theoretical premise that the dividend yield ought to have predictive power for the aggregate stock market. By referring to the Modigliani and Miller (1961) theorem that dividend policy is irrelevant, but allowing for uncertainty, we show that the dividend yield might not be the appropriate variable to forecast returns on equity. In addition, we show that the dividend yield for stock indexes tends toward the dividend yield of the fastest growing firm in the index, thereby introducing a downward trend in the dividend yield. On the other hand, the earnings yield provides a good proxy for the expected return under mild conditions: if the return on aggregate investment coincides with the expected market return and expected returns form a martingale sequence. Our theoretical findings are confirmed in the S&P 500 data: prices seemingly overreact to dividends, even in the long-run, as suggested by the long-run elasticity of prices with respect to dividends of about 1.5 as first observed by Barsky and DeLong (1993). The long-run elasticity of prices with respect to earnings, however, is insignificantly different from one, suggesting that the focus on dividends alone might be rather misguiding in judging the efficiency of the market. Accounting for these facts, simple tests of market efficiency can be constructed. We find that, in the short-run, the efficient markets hypothesis cannot be rejected.","PeriodicalId":107326,"journal":{"name":"Empirical Asset Pricing III","volume":"20 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2005-01-27","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"126841540","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

引用次数: 2