臺灣博碩士論文加值系統

Campbell and Thompson (2008) found several restrictions are useful in improving the predictability of forecasting variables. In this paper, I imposes some of the restrictions proposed by Campbell and Thompson (2008) and found that the positive forecast value restriction is very powerful in improving the predictability for both VAR and Bayesian VAR. Nonetheless, the positive slopes restriction does not always perform well. The Bayesian analysis performs better in evaluating the indicators with longer impact on excess returns.

Introduction 1
Data and Methodology 3
Empirical Results 6
Predictive Regression 6
Variables with Growth Rate 6
Forecast Model 7
Adjustment for Fitted Value 7
The Valuation about predictability: "R2" 8
Sign Restrictions 8
Does "R2" really matters? 11
Conclusion 12
Reference 91

1.Ang, A., and G. Bekaert. (2007). "Stock Return Predictability: Is It There?" The Review of Financial Studies 20: 651-707.
2.Baker, M., and J. Wurgler (2000). "The Equity Share in New Issues and Aggregate Stock Returns." Journal of Finance 55: 2219-2257.
3.Campbell, J. Y. (1987). "Stock Returns and the Term Structure." Journal of Financial Economics 18: 373-399.
4.Campbell, J. Y., and R. J. Shiller. (1988a). "The Dividend-Price ratio and Expectations of Future Dividends and Discount Factors." The Review of Financial Studies 1: 195-228.
5.Campbell, J. Y., and R. J. Shiller. (1988b). "Stock Prices, Earnings, and Expected Dividends." Journal of Finance 43: 661-676.
6.Campbell, J. Y., and M. Yogo (2006). "Efficient Tests of Stcok Return Predictability." Journal of Financial Economics 81: 27-60.
7.Campbell, J. Y., and S. B. Thompson (2008). "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?" Review of Economics and Statistics 21: 1509-1531.
8.Cavanagh, C. L., G. Elliott, and J. H. Stock (1995). "Inference in Models with Nearly Integrated Regressors." Econometric Theory 11: 1131-1147
9.Fama, E. F., and G. W. Schwert (1977). "Asset Returns and Inflation." Journal of Financial Economics 5: 115-146.
10.Fama, E. F., and K. R. French (1988). "Dividend Yields and Expected Stock Returns." Journal of Financial Economics 25: 23-49.
11.Fama, E. F., and K. R. French (1989). "Business Conditions and Expected Returns on Stocks and Bonds." Journal of Financial Economics 25: 23-49.
12.Goyal, A., and I. Welch (2008). "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction." The Review of Financial Studies 21: 1455-1508.
13.Hodrick, R. J. (1992). "Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement." The Review of Financial Studies 5: 257-286.
14.Keim, D. B., and R. F. Stambaugh (1986). "Predicting Returns in the Stock and Bond Markets." Journal of Financial Economics 17: 357-390.
15.Kilian, L. (1999). "Exchange Rates and Monetary Fundamentals: What Do We Learn from Long-Horizon Regressions?" Journal of Applied Econometrics 14: 491-510.
16.Kothari, S. P., and J. Shanken (1997). "Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis." Journal of Financial Economics 44: 169-203.
17.Lamont, O. (1998). "Earnings and Expected Returns." Journal of Finance 53: 1563-1587.
18.Lettau, M., and S. Ludvigson (2001). "Consumption, Aggregate Wealth, and Expected Stock Returns." Journal of Finance 56: 815-849.
19.Lewellen, J. (2004). "Predicting Returns with Financial Ratios." Journal of Financial Economics 74: 209-235.
20.Litterman, R. (1986). "Forecasting with Bayesian Vector Autoregressions: Five Years of Experience " Journal of Business and Economic Statistics 4: 25-38.
21.Nelson, C., and M. Kim (1993). "Predictable Stock Returns: The Role of Small Sample Bias." Journal of Finance 48: 641-661.
22.Polk, C., S. Thompson, and T. Vuolteenaho (2006). "Cross-Sectional Forecasts of the Equity Premium." Journal of Financial Economics 81: 101-141.
23.Pontiff, J., and L. D. Schall (1998). "Book-to-Market Ratios as Predictors of Market Returns." Journal of Financial Economics 49: 141-160.
24.Rozeff, M. S. (1984). "Dividend Yields are Equity Risk Premiums." Journal of Portfolio Management 11: 68-75.
25.Sims, C. A. (1980). "Macroeconomics and Reality." Econometrica 48: 1-48.
26.Stambaugh, R. F. (1999). "Predictive Regressions." Journal of Financial Economics 54: 375-421.