What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio

DOI10.1016/J.JECONOM.2014.05.018MaRDI QIDQ2346017zbMATH OpenOpenAlexFDO

Authors Jessica A. Wachter, Missaka Warusawitharana

Publication date 29 May 2015

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://repository.upenn.edu/cgi/viewcontent.cgi?article=1217&context=fnce_papers

zbMATH Keywords

Bayesian statisticsmodel uncertaintyreturn predictability

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• Predicting the equity premium with dividend ratios
• Movements in the Equity Premium: Evidence from a Time-Varying VAR
• Time-varying predictability of the long horizon equity premium based on semiparametric regressions
• Dividend Variability and Stock Market Swings
• Price-dividend ratios and stock price predictability

Cites work

• A comment on D. V. Lindley's statistical paradox
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Bayes Factors
• Bayesian model averaging and exchange rate forecasts
• Benchmark priors for Bayesian model averaging.
• Computing Bayes Factors Using a Generalization of the Savage-Dickey Density Ratio
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Hierarchical Bayesian analysis of the seemingly unrelated regression and simultaneous equations models using a combination of direct Monte Carlo and importance sampling techniques
• scientific article; zbMATH DE number 3426675 (Why is no real title available?)
• scientific article; zbMATH DE number 4070082 (Why is no real title available?)
• scientific article; zbMATH DE number 941484 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• On Two Methods of Brown and Shook
• Predictable returns and asset allocation: should a skeptical investor time the market?
• The Effect of the First Observation in Regression Models with First-Order Autoregressive Disturbances
• The Weighted Likelihood Ratio, Linear Hypotheses on Normal Location Parameters

Cited in

(10)

• Permanent shocks, signal extraction, and portfolio selection
• The expected real return to equity
• Time-varying predictability of the long horizon equity premium based on semiparametric regressions
• Predictable returns and asset allocation: should a skeptical investor time the market?
• Predicting the equity premium with dividend ratios
• Movements in the Equity Premium: Evidence from a Time-Varying VAR
• Dividend Variability and Stock Market Swings
• Price-dividend ratios and stock price predictability
• Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
• Bayesian reconciliation of return predictability

This page was built for publication: What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2346017)