Reconciling the Return Predictability Evidence under Structural Breaks
DC Field | Value | Language |
---|---|---|
dc.contributor.author | 박철범 | - |
dc.date.accessioned | 2021-09-04T07:49:03Z | - |
dc.date.available | 2021-09-04T07:49:03Z | - |
dc.date.created | 2021-06-17 | - |
dc.date.issued | 2016 | - |
dc.identifier.issn | 1225-5017 | - |
dc.identifier.uri | https://scholar.korea.ac.kr/handle/2021.sw.korea/91074 | - |
dc.description.abstract | This study shows that the poor out-of-sample performance of the realtime adjusted dividend-price ratio reported in Lettau and Nieuwerburgh (2008) is mainly a result of the gap period between the occurrence of a break and its detection, which implies that the poor out-of-sample performance of the adjusted dividend-price ratio is due to the requirement in Bai and Perron’s (1998) procedure that breaks must be away from the boundaries of the sample. A substantial improvement in the out-of-sample performance of the adjusted dividend-price ratio during the gap period is shown with the use of Andrews’s (2003) procedure in the real-time adjustment of the dividend-price ratio. The newly suggested procedure for the adjusted dividend-price ratio in this study has better out-ofsample performance than the simple sample mean, although it is not significant. | - |
dc.language | English | - |
dc.language.iso | en | - |
dc.publisher | 서울대학교행정대학원 | - |
dc.title | Reconciling the Return Predictability Evidence under Structural Breaks | - |
dc.title.alternative | Reconciling the Return Predictability Evidence under Structural Breaks | - |
dc.type | Article | - |
dc.contributor.affiliatedAuthor | 박철범 | - |
dc.identifier.bibliographicCitation | The Korean Journal of Policy Studies, v.31, no.2, pp.71 - 81 | - |
dc.relation.isPartOf | The Korean Journal of Policy Studies | - |
dc.citation.title | The Korean Journal of Policy Studies | - |
dc.citation.volume | 31 | - |
dc.citation.number | 2 | - |
dc.citation.startPage | 71 | - |
dc.citation.endPage | 81 | - |
dc.type.rims | ART | - |
dc.identifier.kciid | ART002143242 | - |
dc.description.journalClass | 2 | - |
dc.description.journalRegisteredClass | kci | - |
dc.subject.keywordAuthor | stock-return predictability | - |
dc.subject.keywordAuthor | structural break | - |
dc.subject.keywordAuthor | out-of-sample forecast | - |
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