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Three essays on economics of predictability of stock returns
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| 1.17 MB | Adobe PDF |
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Resumo(s)
In the first essay of this dissertation I analyze predictability of returns generated by the long-run risks model of Bansal and Yaron (2004). I uncover some counterfactual
features of the predictability and connect them with the specific features of the long-
run risks processes. In the second essay, I analyze the effect of the aggregation on the
predictability in the long-run risks model. I found that the aggregation implies that a
part of expected dividend growth is observable and points at the nature of the additional to the dividend-price ratio variables which might help to predict returns. In the third essay, I use expected returns and expected dividend growth processes implied by the long-run risks and other models to analyze the out-of-sample performance of the predictive regression and some of its alternatives. My analysis suggests that the poor out-of-sample
performance is due to the finite sample noise and a large unpredictable component in
returns.
Descrição
A PhD Dissertation, presented as part of the requirements for the Degree of Doctor of Philosophy from the NOVA - School of Business and Economics