کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
960421 1478904 2011 24 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Forecasting stock market returns: The sum of the parts is more than the whole
موضوعات مرتبط
علوم انسانی و اجتماعی مدیریت، کسب و کار و حسابداری حسابداری
پیش نمایش صفحه اول مقاله
Forecasting stock market returns: The sum of the parts is more than the whole
چکیده انگلیسی

We propose forecasting separately the three components of stock market returns—the dividend–price ratio, earnings growth, and price–earnings ratio growth—the sum-of-the-parts (SOP) method. Our method exploits the different time series persistence of the components and obtains out-of-sample R-squares (compared with the historical mean) of more than 1.3% with monthly data and 13.4% with yearly data. This compares with typically negative R-squares obtained in a similar experiment with predictive regressions. The performance of the SOP method comes mainly from the dividend–price ratio and earnings growth components, and the robustness of the method is due to its low estimation error. An investor who timed the market using our method would have had a Sharpe ratio gain of 0.3.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Financial Economics - Volume 100, Issue 3, June 2011, Pages 514–537
نویسندگان
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