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What is the Chance that the Equity Premium Varies over Time? Evidence from Predictive Regressions

Author: Jessica A Wachter; Missaka Warusawitharana
Publisher: Cambridge, Mass. National Bureau of Economic Research 2011.
Series: Working paper series (National Bureau of Economic Research), no. w17334.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor of predictability when confronted by the historical time  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Jessica A Wachter; Missaka Warusawitharana
OCLC Number: 1027382516
Notes: August 2011.
Description: 1 online resource.
Details: Mode of access: World Wide Web.
Series Title: Working paper series (National Bureau of Economic Research), no. w17334.
Responsibility: Jessica A. Wachter, Missaka Warusawitharana.

Abstract:

We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor of predictability when confronted by the historical time series of returns and predictor variables. Correctly taking into account the stochastic properties of the regressor has a dramatic impact on inference, particularly over the 2000-2005 period.

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