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Risk, Mispricing, and Asset Allocation : Conditioning on Dividend Yield

Author: Jay Shanken; Ane Tamayo
Publisher: Cambridge, Mass. National Bureau of Economic Research 2001.
Series: Working paper series (National Bureau of Economic Research), no. w8666.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return, we develop Bayesian  Read more...
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Details

Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jay Shanken; Ane Tamayo
OCLC Number: 1027300553
Notes: December 2001.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w8666.
Responsibility: Jay Shanken, Ane Tamayo.

Abstract:

In the asset pricing literature, time-variation in market expected excess return captured by financial ratios like dividend yield is typically viewed as a reflection of either changing risk, related to the business cycle, or irrational mispricing. Extending the work on asset allocation and dividend yield by Kandel and Stambaugh (1996) to accommodate variation in risk as well as expected return, we develop Bayesian methods to examine the interaction between the data and an investor's initial beliefs about the sources of return predictability. Although results vary with the subperiod examined, different views on the relative importance of these factors can have important implications for asset allocation between a stock index and a riskless asset. In general, however, the simple risk/return model of Merton (1980) explains very little of the yield-related return predictability observed.

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