학술저널
Test of Return Predictability
- 한국계량경제학회
- JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS
- Vol.20 No.4
-
2009.1250 - 73 (24 pages)
- 5
Predictive regressions are subject to finite sample bias. We propose a new twostep procedure to make correct inference for predictive regressions. Simulation results show that our procedure performs better than the existing two-step procedure in eliminating the bias and size distortion of the conventional t-test. We apply this procedure and find that dividend yield has lost predictive power for return since the early 1990s.
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