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The Dog and the Straw Man: Response to “Dividend Growth Does Not Help Predict Returns Compared to Likelihood-Based Tests: An Anatomy of the Dogâ€

John H. Cochrane

Critical Finance Review, 2021, vol. 10, issue 3, 465-470

Abstract: I respond to Hjalmarsson and Kiss (2021). Cochrane (2008) does not advocate a “data-dependent null,†a testing methodology in which one always uses a sample value as null hypothesis for a test statistic. In fact, I calculate sampling distributions for a wide variety of fixed null values of the parameters. How best to impose prior information that the dividend yield is stationary remains an important question highlighted by both papers.

Keywords: Predictive regressions; Present-value relationship; Stock-return predictability (search for similar items in EconPapers)
JEL-codes: C22 G1 (search for similar items in EconPapers)
Date: 2021
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