Upper bounds on return predictability

• المؤلفون الرئيسيون: HUANG, Dashan, ZHOU, Guofu
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2017
• الموضوعات: Return predictability; asset pricing; stochastic discount factor; habit formation; long-run risks; rare disaster; Business; Finance and Financial Management
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/4569; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5568/viewcontent/UpperBounds.pdf

Can the degree of predictability found in data be explained by existing asset pricing models? We provide two theoretical upper bounds on the R2 of predictive regressions. Using data on the market portfolio and component portfolios, we find that the empirical R2 are significantly greater than the the...