How much stock return predictability can we expect from an asset pricing model?

被引：22
|
作者：
Zhou, Guofu [1 ]
机构：
[1] Washington Univ, John M Olin Sch Business, St Louis, MO 63130 USA
来源：
ECONOMICS LETTERS | 2010年 / 108卷 / 02期
关键词：
Predictive regression; R-squared; Forecasting stock return; EQUITY PREMIUM PREDICTION; SAMPLE;
D O I：
10.1016/j.econlet.2010.05.008
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
We provide a new upper bound on the R-squared of a predictive regression of stock returns on predictable variables, tightening substantially Ross's (2005) bound. An empirical application illustrates that while Ross's bound is not binding, our bound does. (C) 2010 Elsevier B.V. All rights reserved.
引用
收藏
页码：184 / 186
页数：3
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