skip to content
The predictability of returns with regime shifts in consumption and dividend growth Preview this item
ClosePreview this item
Checking...

The predictability of returns with regime shifts in consumption and dividend growth

Author: Anisha Ghosh; George M Constantinides; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2010.
Series: Working paper series (National Bureau of Economic Research), no. 16183.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Database:WorldCat
Summary:
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  Read more...
Rating:

(not yet rated) 0 with reviews - Be the first.

Subjects
More like this

 

Find a copy online

Find a copy in the library

&AllPage.SpinnerRetrieving; Finding libraries that hold this item...

Details

Additional Physical Format: Print version:
Ghosh, Anisha.
Predictability of returns with regime shifts in consumption and dividend growth.
Cambridge, Mass. : National Bureau of Economic Research, ©2010
(DLC) 2010656193
Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Anisha Ghosh; George M Constantinides; National Bureau of Economic Research.
OCLC Number: 646812739
Description: 1 online resource (41 pages) : illustrations.
Series Title: Working paper series (National Bureau of Economic Research), no. 16183.
Responsibility: Anisha Ghosh, George M. Constantinides.

Abstract:

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.

Reviews

User-contributed reviews
Retrieving GoodReads reviews...
Retrieving DOGObooks reviews...

Tags

Be the first.
Confirm this request

You may have already requested this item. Please select Ok if you would like to proceed with this request anyway.

Linked Data


Primary Entity

<http://www.worldcat.org/oclc/646812739> # The predictability of returns with regime shifts in consumption and dividend growth
    a schema:MediaObject, schema:Book, schema:CreativeWork ;
    library:oclcnum "646812739" ;
    library:placeOfPublication <http://id.loc.gov/vocabulary/countries/mau> ;
    library:placeOfPublication <http://experiment.worldcat.org/entity/work/data/510254690#Place/cambridge_mass> ; # Cambridge, Mass.
    schema:about <http://experiment.worldcat.org/entity/work/data/510254690#Topic/rate_of_return_forecasting> ; # Rate of return--Forecasting
    schema:about <http://id.worldcat.org/fast/1090238> ; # Rate of return--Forecasting
    schema:about <http://experiment.worldcat.org/entity/work/data/510254690#Topic/rate_of_return_econometric_models> ; # Rate of return--Econometric models
    schema:about <http://id.worldcat.org/fast/1090237> ; # Rate of return--Econometric models
    schema:bookFormat schema:EBook ;
    schema:contributor <http://experiment.worldcat.org/entity/work/data/510254690#Person/constantinides_george_m> ; # George M. Constantinides
    schema:contributor <http://experiment.worldcat.org/entity/work/data/510254690#Organization/national_bureau_of_economic_research> ; # National Bureau of Economic Research.
    schema:copyrightYear "2010" ;
    schema:creator <http://experiment.worldcat.org/entity/work/data/510254690#Person/ghosh_anisha> ; # Anisha Ghosh
    schema:datePublished "2010" ;
    schema:description "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."@en ;
    schema:exampleOfWork <http://worldcat.org/entity/work/id/510254690> ;
    schema:inLanguage "en" ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/510254690#Series/nber_working_paper_series> ; # NBER working paper series ;
    schema:isPartOf <http://experiment.worldcat.org/entity/work/data/510254690#Series/working_paper_series_national_bureau_of_economic_research> ; # Working paper series (National Bureau of Economic Research) ;
    schema:isSimilarTo <http://worldcat.org/entity/work/data/510254690#CreativeWork/predictability_of_returns_with_regime_shifts_in_consumption_and_dividend_growth> ;
    schema:name "The predictability of returns with regime shifts in consumption and dividend growth"@en ;
    schema:productID "646812739" ;
    schema:publication <http://www.worldcat.org/title/-/oclc/646812739#PublicationEvent/cambridge_mass_national_bureau_of_economic_research_2010> ;
    schema:publisher <http://experiment.worldcat.org/entity/work/data/510254690#Agent/national_bureau_of_economic_research> ; # National Bureau of Economic Research
    schema:url <http://papers.nber.org/papers/w16183> ;
    wdrs:describedby <http://www.worldcat.org/title/-/oclc/646812739> ;
    .


Related Entities

<http://experiment.worldcat.org/entity/work/data/510254690#Agent/national_bureau_of_economic_research> # National Bureau of Economic Research
    a bgn:Agent ;
    schema:name "National Bureau of Economic Research" ;
    .

<http://experiment.worldcat.org/entity/work/data/510254690#Organization/national_bureau_of_economic_research> # National Bureau of Economic Research.
    a schema:Organization ;
    schema:name "National Bureau of Economic Research." ;
    .

<http://experiment.worldcat.org/entity/work/data/510254690#Person/constantinides_george_m> # George M. Constantinides
    a schema:Person ;
    schema:familyName "Constantinides" ;
    schema:givenName "George M." ;
    schema:name "George M. Constantinides" ;
    .

<http://experiment.worldcat.org/entity/work/data/510254690#Person/ghosh_anisha> # Anisha Ghosh
    a schema:Person ;
    schema:familyName "Ghosh" ;
    schema:givenName "Anisha" ;
    schema:name "Anisha Ghosh" ;
    .

<http://experiment.worldcat.org/entity/work/data/510254690#Place/cambridge_mass> # Cambridge, Mass.
    a schema:Place ;
    schema:name "Cambridge, Mass." ;
    .

<http://experiment.worldcat.org/entity/work/data/510254690#Series/nber_working_paper_series> # NBER working paper series ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/646812739> ; # The predictability of returns with regime shifts in consumption and dividend growth
    schema:name "NBER working paper series ;" ;
    .

<http://experiment.worldcat.org/entity/work/data/510254690#Series/working_paper_series_national_bureau_of_economic_research> # Working paper series (National Bureau of Economic Research) ;
    a bgn:PublicationSeries ;
    schema:hasPart <http://www.worldcat.org/oclc/646812739> ; # The predictability of returns with regime shifts in consumption and dividend growth
    schema:name "Working paper series (National Bureau of Economic Research) ;" ;
    .

<http://id.worldcat.org/fast/1090237> # Rate of return--Econometric models
    a schema:Intangible ;
    schema:name "Rate of return--Econometric models"@en ;
    .

<http://id.worldcat.org/fast/1090238> # Rate of return--Forecasting
    a schema:Intangible ;
    schema:name "Rate of return--Forecasting"@en ;
    .

<http://worldcat.org/entity/work/data/510254690#CreativeWork/predictability_of_returns_with_regime_shifts_in_consumption_and_dividend_growth>
    a schema:CreativeWork ;
    rdfs:label "Predictability of returns with regime shifts in consumption and dividend growth." ;
    schema:description "Print version:" ;
    schema:isSimilarTo <http://www.worldcat.org/oclc/646812739> ; # The predictability of returns with regime shifts in consumption and dividend growth
    .

<http://www.worldcat.org/title/-/oclc/646812739>
    a genont:InformationResource, genont:ContentTypeGenericResource ;
    schema:about <http://www.worldcat.org/oclc/646812739> ; # The predictability of returns with regime shifts in consumption and dividend growth
    schema:dateModified "2016-07-08" ;
    void:inDataset <http://purl.oclc.org/dataset/WorldCat> ;
    .


Content-negotiable representations

Close Window

Please sign in to WorldCat 

Don't have an account? You can easily create a free account.