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Results of Return Prediction Studie
Results of Return Prediction Studies The time-series analysis assumes that in an efficient
market the best estimate of future rates of return will be the long-run historical rates of
return. The point of the tests is to determine whether any public information will provide superior
estimates of returns for a short-run horizon (one to six months) or a long-run horizon (one
to five years).
The results of these studies have indicated limited success in predicting short-horizon returns,
but the analysis of long-horizon returns has been quite successful. A prime example is dividend
yield studies. After postulating that the aggregate dividend yield (D/P) was a proxy for the risk
premium on stocks, they found a positive relationship between the D/P and future stock market
returns. Subsequent authors found that the predictive power of this relationship increases with
the horizon, that is, dividend yields were better at predicting long-run returns.
In addition, several studies have considered two variables related to the term structure of
interest rates: (1) a default spread, which is the difference between the yields on lower-grade and
Aaa-rated long-term corporate bonds (this spread has been used in earlier chapters of this book
as a proxy for a market risk premium), and (2) the term structure spread, which is the difference
between the long-term Aaa yield and the yield on one-month Treasury bills. These variables have
been used to predict stock returns and bond returns. Similar variables in foreign countries have
also been useful for predicting returns for foreign common stocks.
market the best estimate of future rates of return will be the long-run historical rates of
return. The point of the tests is to determine whether any public information will provide superior
estimates of returns for a short-run horizon (one to six months) or a long-run horizon (one
to five years).
The results of these studies have indicated limited success in predicting short-horizon returns,
but the analysis of long-horizon returns has been quite successful. A prime example is dividend
yield studies. After postulating that the aggregate dividend yield (D/P) was a proxy for the risk
premium on stocks, they found a positive relationship between the D/P and future stock market
returns. Subsequent authors found that the predictive power of this relationship increases with
the horizon, that is, dividend yields were better at predicting long-run returns.
In addition, several studies have considered two variables related to the term structure of
interest rates: (1) a default spread, which is the difference between the yields on lower-grade and
Aaa-rated long-term corporate bonds (this spread has been used in earlier chapters of this book
as a proxy for a market risk premium), and (2) the term structure spread, which is the difference
between the long-term Aaa yield and the yield on one-month Treasury bills. These variables have
been used to predict stock returns and bond returns. Similar variables in foreign countries have
also been useful for predicting returns for foreign common stocks.
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Hasil kembali prediksi studi analisis seri-mengasumsikan bahwa secara efisien
pasar yang terbaik perkiraan masa depan tingkat pengembalian akan jangka panjang sejarah tingkat
kembali. Tes adalah untuk menentukan apakah informasi umum akan memberikan superior
perkiraan kembali untuk jangka pendek cakrawala (satu sampai enam bulan) atau jangka panjang cakrawala (satu
untuk lima tahun).
Hasil studi ini mengindikasikan sukses terbatas dalam memprediksi kembali pendek-horizon,
tetapi analisis panjang-horizon kembali telah cukup berhasil. Sebuah contoh utama adalah dividen
hasil studi. Setelah mendalilkan bahwa agregat dividen yield (D/P) adalah proxy untuk risiko
premi pada saham, mereka menemukan hubungan yang positif antara D/P dan masa depan pasar saham
kembali. Berikutnya penulis menemukan bahwa kekuatan prediktif hubungan ini meningkat dengan
horizon, yaitu hasil dividen itu semakin baik memprediksikan email jangka panjang keuntungan.
Selain itu, beberapa studi telah mempertimbangkan dua variabel yang berkaitan dengan struktur istilah
bunga: (1) default menyebar, yang merupakan perbedaan antara imbal hasil kelas rendah dan
Peringkat AAA obligasi korporasi jangka panjang (ini menyebar telah digunakan dalam bab-bab awal kitab ini
sebagai proxy untuk premi risiko pasar), dan (2) term struktur menyebar, yang merupakan perbedaan
antara hasil Aaa jangka panjang dan hasil di keuangannya satu bulan. Variabel ini memiliki
telah digunakan untuk memprediksi pengembalian saham dan Obligasi kembali. Variabel yang sama di luar negeri memiliki
juga berguna untuk memprediksi kembali untuk asing saham biasa.
pasar yang terbaik perkiraan masa depan tingkat pengembalian akan jangka panjang sejarah tingkat
kembali. Tes adalah untuk menentukan apakah informasi umum akan memberikan superior
perkiraan kembali untuk jangka pendek cakrawala (satu sampai enam bulan) atau jangka panjang cakrawala (satu
untuk lima tahun).
Hasil studi ini mengindikasikan sukses terbatas dalam memprediksi kembali pendek-horizon,
tetapi analisis panjang-horizon kembali telah cukup berhasil. Sebuah contoh utama adalah dividen
hasil studi. Setelah mendalilkan bahwa agregat dividen yield (D/P) adalah proxy untuk risiko
premi pada saham, mereka menemukan hubungan yang positif antara D/P dan masa depan pasar saham
kembali. Berikutnya penulis menemukan bahwa kekuatan prediktif hubungan ini meningkat dengan
horizon, yaitu hasil dividen itu semakin baik memprediksikan email jangka panjang keuntungan.
Selain itu, beberapa studi telah mempertimbangkan dua variabel yang berkaitan dengan struktur istilah
bunga: (1) default menyebar, yang merupakan perbedaan antara imbal hasil kelas rendah dan
Peringkat AAA obligasi korporasi jangka panjang (ini menyebar telah digunakan dalam bab-bab awal kitab ini
sebagai proxy untuk premi risiko pasar), dan (2) term struktur menyebar, yang merupakan perbedaan
antara hasil Aaa jangka panjang dan hasil di keuangannya satu bulan. Variabel ini memiliki
telah digunakan untuk memprediksi pengembalian saham dan Obligasi kembali. Variabel yang sama di luar negeri memiliki
juga berguna untuk memprediksi kembali untuk asing saham biasa.
Sedang diterjemahkan, harap tunggu..
Results of Return Prediction Studies The time-series analysis assumes that in an efficient
market the best estimate of future rates of return will be the long-run historical rates of
return. The point of the tests is to determine whether any public information will provide superior
estimates of returns for a short-run horizon (one to six months) or a long-run horizon (one
to five years).
The results of these studies have indicated limited success in predicting short-horizon returns,
but the analysis of long-horizon returns has been quite successful. A prime example is dividend
yield studies. After postulating that the aggregate dividend yield (D/P) was a proxy for the risk
premium on stocks, they found a positive relationship between the D/P and future stock market
returns. Subsequent authors found that the predictive power of this relationship increases with
the horizon, that is, dividend yields were better at predicting long-run returns.
In addition, several studies have considered two variables related to the term structure of
interest rates: (1) a default spread, which is the difference between the yields on lower-grade and
Aaa-rated long-term corporate bonds (this spread has been used in earlier chapters of this book
as a proxy for a market risk premium), and (2) the term structure spread, which is the difference
between the long-term Aaa yield and the yield on one-month Treasury bills. These variables have
been used to predict stock returns and bond returns. Similar variables in foreign countries have
also been useful for predicting returns for foreign common stocks.
market the best estimate of future rates of return will be the long-run historical rates of
return. The point of the tests is to determine whether any public information will provide superior
estimates of returns for a short-run horizon (one to six months) or a long-run horizon (one
to five years).
The results of these studies have indicated limited success in predicting short-horizon returns,
but the analysis of long-horizon returns has been quite successful. A prime example is dividend
yield studies. After postulating that the aggregate dividend yield (D/P) was a proxy for the risk
premium on stocks, they found a positive relationship between the D/P and future stock market
returns. Subsequent authors found that the predictive power of this relationship increases with
the horizon, that is, dividend yields were better at predicting long-run returns.
In addition, several studies have considered two variables related to the term structure of
interest rates: (1) a default spread, which is the difference between the yields on lower-grade and
Aaa-rated long-term corporate bonds (this spread has been used in earlier chapters of this book
as a proxy for a market risk premium), and (2) the term structure spread, which is the difference
between the long-term Aaa yield and the yield on one-month Treasury bills. These variables have
been used to predict stock returns and bond returns. Similar variables in foreign countries have
also been useful for predicting returns for foreign common stocks.
Sedang diterjemahkan, harap tunggu..
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