股票溢价的真实收益模型的持续预测有效性

IF 0.6 Q4 BUSINESS, FINANCE
A. Murphy, Zeina Alsalman
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引用次数: 1

摘要

本文从经验上证明了一个简单理论的持续预测有效性,该理论将预期股票收益建模为标准普尔500指数的收益收益率(以该指数过去最高的年度收益除以当前指数值)和基于市场的通货膨胀率预测的总和。除了与随后的超额年度股票收益保持显著的一对一关系外,自1997年市场数据可用以来,该模型对股票溢价的估计与标准普尔500指数在随后的五年间隔内的超额收益具有0.85的相关性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
The Continued Forecasting Effectiveness of a Real Earnings Model of the Equity Premium
This article empirically demonstrates the continued forecasting effectiveness of a simple theory modeling expected stock returns as the sum of the earnings yield on the S&P 500 (measured as the highest past annual earnings on the index divided by the current index value) and a market-based forecast of the inflation rate. Besides having retained its significant one-to-one relationship with subsequent excess annual stock returns, this model’s estimate of the equity premium is discovered to have a correlation of 0.85 with S&P 500 excess returns over subsequent five-year intervals ever since market data for the estimator became available in 1997.
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来源期刊
Journal of Investing
Journal of Investing BUSINESS, FINANCE-
CiteScore
1.10
自引率
16.70%
发文量
42
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