کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
9551445 | 1373219 | 2005 | 8 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
tay's as good as cay: Reply
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کلمات کلیدی
موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
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چکیده انگلیسی
In a recent comment on our published work [Lettau, M., Ludvigson, S., 2001. Consumption, aggregate wealth, and expected stock returns. Journal of Finance 56, 815-850], Michael Brennan and Yihong Xia [2005. tay's as good as cay. Finance Research Letters 2, 1-14] advance the following argument: A “mechanistic” variable tay, where t is a linear time trend, forecasts stock returns. Since “t has no foresight,” the argument goes, the predictive power of this variable must be attributable to what they call “look-ahead bias.” The authors assert that cay is subject to the same look-ahead bias (generated because we use the full sample to estimate the cointegrating parameters in cay), implying that its forecasting power must be spurious. In this response, we explain why this critique is misplaced.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Finance Research Letters - Volume 2, Issue 1, March 2005, Pages 15-22
Journal: Finance Research Letters - Volume 2, Issue 1, March 2005, Pages 15-22
نویسندگان
Martin Lettau, Sydney C. Ludvigson,