Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
Geert Bekaert and
Robert Hodrick ()
No 3790, NBER Working Papers from National Bureau of Economic Research, Inc
Abstract:
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied long-horizon statistics. We estimate latent variable models as constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility bounds on intertemporal marginal rates of substitution.
Date: 1991-07
Note: ITI ME IFM
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (171)
Published as Journal of Finance, Vol. 47, No. 2 (June 1992): 467-509.
Downloads: (external link)
http://www.nber.org/papers/w3790.pdf (application/pdf)
Related works:
Journal Article: Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets (1992) 
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
HTML/Text
Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:3790
Ordering information: This working paper can be ordered from
http://www.nber.org/papers/w3790
Access Statistics for this paper
More papers in NBER Working Papers from National Bureau of Economic Research, Inc National Bureau of Economic Research, 1050 Massachusetts Avenue Cambridge, MA 02138, U.S.A.. Contact information at EDIRC.
Bibliographic data for series maintained by ().