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Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
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Asset returns and inflation
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On estimating the expected return on the market
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The stochastic behavior of common stock variances Value, leverage and interest rate effects
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Predicting returns in the stock and bond markets
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A Bayesian approach to testing portfolio efficiency
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Expected stock returns and volatility
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Stock Returns and the Term Structure
inferredcites →https://doi.org/10.1016/0304-405x(88)90020-7openalex-snapshot
Dividend yields and expected stock returns
inferredcites →https://doi.org/10.1016/0304-405x(89)90049-4openalex-snapshot
Time-varying conditional covariances in tests of asset pricing models
inferredcites →https://doi.org/10.1016/0304-405x(89)90095-0openalex-snapshot
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/0304-405x(94)00808-eopenalex-snapshot
Multifactor models do not explain deviations from the CAPM
inferredcites →https://doi.org/10.1016/0304-405x(94)00821-hopenalex-snapshot
All in the family Nesting symmetric and asymmetric GARCH models
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Intertemporal asset pricing
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Bayesian Inference in Dynamic Econometric Models
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Stock return predictability and model uncertainty
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Book-to-market, dividend yield, and expected market returns: A time-series analysis
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An Introduction to Bayesian Inference in Econometrics
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Indexes of U.S. Stock Prices from 1802 to 1987
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Bayesian Inference in Dynamic Econometric Models
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?
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Data-Snooping Biases in Tests of Financial Asset Pricing Models
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On the Estimation of Beta-Pricing Models
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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
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Global Stock Markets in the Twentieth Century
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Should Investors Avoid All Actively Managed Mutual Funds? A Study in Bayesian Performance Evaluation
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Learning, Asset‐Pricing Tests, and Market Efficiency
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EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK*
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Does the Stock Market Overreact?
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Why Does Stock Market Volatility Change Over Time?
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Predictable Stock Returns: The Role of Small Sample Bias
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04732.xopenalex-snapshot
Testing the Predictive Power of Dividend Yields
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb04772.xopenalex-snapshot
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1994.tb05150.xopenalex-snapshot
Time Variations and Covariations in the Expectation and Volatility of Stock Market Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb02689.xopenalex-snapshot
On the Predictability of Stock Returns: An Asset‐Allocation Perspective
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04814.xopenalex-snapshot
Assessing Goodness-Of-Fit of Asset Pricing Models: The Distribution of the Maximal R 2
inferredcites →https://doi.org/10.2139/ssrn.309559openalex-snapshot
Predicting Returns with Financial Ratios
inferredcites →https://doi.org/10.2307/1913625openalex-snapshot
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2307/1913710openalex-snapshot
Bayesian Inference in Econometric Models Using Monte Carlo Integration
inferredcites →https://doi.org/10.2307/2287437openalex-snapshot
Specification Searches: Ad Hoc Inference With Nonexperimental Data.
inferredcites →https://doi.org/10.2307/2298007openalex-snapshot
Risk, Time-Varying Second Moments and Market Efficiency
inferredcites →https://doi.org/10.2307/2328636openalex-snapshot
Why Does Stock Market Volatility Change Over Time?
inferredcites →https://doi.org/10.2307/2344559openalex-snapshot
An Introduction to Bayesian Inference in Econometrics.
inferredcites →https://doi.org/10.2307/2553491openalex-snapshot
Specification Searches: Ad Hoc Inference with Non-Experimental Data.
inferredcites →https://doi.org/10.3386/w0444openalex-snapshot
On Estimating the Expected Return on the Market: An Exploratory Investigation
inferredcites →https://doi.org/10.3386/w2100openalex-snapshot
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.3386/w2621openalex-snapshot
Stock Prices Under Time-Varying Dividend Risk: An Exact Solution In An Infinite-Horizon General Equilibrium Model
inferredcites →https://doi.org/10.3386/w3001openalex-snapshot
Data-Snooping Biases in Tests of Financial Asset Pricing Models
inferredcites →https://doi.org/10.3386/w4360openalex-snapshot
Contrarian Investment, Extrapolation, and Risk
inferredcites →https://doi.org/10.3386/w4756openalex-snapshot
Multifactor Models Do Not Explain Deviations from the CAPM
inferredcites →https://doi.org/10.3386/w4997openalex-snapshot
On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.3905/jpm.1984.408980openalex-snapshot
Dividend yields are equity risk premiums
What points at this work
Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Does Stock Return Predictability Imply Improved Asset Allocation and Performance? Evidence from the U.S. Stock Market (1954-2002)
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Can an Investor Profit from Return Predictability in Real Time?
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Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?
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Predictability-Robust Dynamic Portfolio Choice
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Return Predictability, Economic Profits, and Model Mis-Specification: How Important are the Better Specified Models?
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Bayesian Applications to the Investment Management Process
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Exploiting short-run predictability
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Exchange rates and fundamentals: evidence on the economic value of predictability
inferred← citeshttps://doi.org/10.1086/427633openalex-snapshot
Investor Sentiment and Asset Valuation
inferred← citeshttps://doi.org/10.1093/rfs/hhg059openalex-snapshot
Stock Return Predictability and Asset Pricing Models
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An Economic Evaluation of Empirical Exchange Rate Models
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