| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w16183 |
| 来源ID | Working Paper 16183 |
| The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth | |
| Anisha Ghosh; George M. Constantinides | |
| 发表日期 | 2010-07-08 |
| 出版年 | 2010 |
| 语种 | 英语 |
| 摘要 | The predictability of the market return and dividend growth is addressed in an equilibrium model with two regimes. A state variable that drives the conditional means of the aggregate consumption and dividend growth rates follows different time-series processes in the two regimes. In linear predictive regressions over 1930-2009, the market return is predictable by the price-dividend ratio with R2 11.7% if the probability of being in the first regime exceeds 50%; and dividend growth is predictable by the price-dividend ratio with R2 28.3% if the probability of being in the second regime exceeds 50%. The model-implied state variables perform significantly better at predicting the equity, size, and value premia, the aggregate consumption and dividend growth rates, and the variance of the market return than linear regressions with the market price-dividend ratio and risk free rate as predictive variables. |
| 主题 | Macroeconomics ; Money and Interest Rates ; Financial Economics ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w16183 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/573856 |
| 推荐引用方式 GB/T 7714 | Anisha Ghosh,George M. Constantinides. The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth. 2010. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w16183.pdf（777KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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