کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960342 929441 2012 22 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Payout yield, risk, and mispricing: A Bayesian analysis
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Payout yield, risk, and mispricing: A Bayesian analysis
چکیده انگلیسی

We develop a simple parametric model in which hypotheses about predictability, mispricing, and the risk-return tradeoff can be evaluated simultaneously, while allowing for time variation in both risk and expected return. Most of the return predictability based on aggregate payout yield is unrelated to market risk. We consider a range of Bayesian prior beliefs about the risk-return tradeoff and the extent to which predictability is driven by mispricing. The impact of these beliefs on an investor's certainty-equivalent return when choosing between a market index and riskless T-bills is economically significant, in both ex ante and out-of-sample analyses.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 105, Issue 1, July 2012, Pages 131–152
نویسندگان
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