RT Generic
T1 Regime specific predictability in predictive regressions
A1 Gonzalo, Jesús
A1 Pitarakis, Jean-Yves
A2 Universidad Carlos III de Madrid. Departamento de Economía, 
AB Predictive regressions are linear specifications linking a noisy variable such as stock returnsto past values of a more persistent regressor with the aim of assessing the presence ofpredictability. Key complications that arise are the potential presence of endogeneity and thepoor adequacy of asymptotic approximations. In this paper we develop tests for uncoveringthe presence of predictability in such models when the strength or direction of predictabilitymay alternate across different economically meaningful episodes. An empirical applicationreconsiders the Dividend Yield based return predictability and documents a strongpredictability that is countercyclical, occurring solely during bad economic times.
SN 2340-5031
YR 2010
FD 2010-12
LK https://hdl.handle.net/10016/5961
UL https://hdl.handle.net/10016/5961
LA eng
DS e-Archivo
RD 9 may. 2024