Nelson and kim (1993) and goetzmann and jorion (1993) present seminal discussions of problems in estimation due to data overlaps. The equity risk premium essays and explorations william n goetzmann and roger g ibbotson this book aims to create a strong understanding of the empirical basis for. Stock return predictability: is it there french (1988), campbell and shiller (1988a and b), goetzmann and jorion (1993 and 1995), hodrick (1992). Filtering out expected dividends and expected goetzmann and jorion, 1993, 1995 filtering out expected dividends and expected returns. In the context of dividend ratios see for example goetzmann and jorion 1993 and from statistics 90x at hec paris.
Goetzmann, william n, and philippe jorion (1993) testing the predictive power of dividend yields journal of finance, vol 48, no 2 (june): 663-679. Testing the predictive power of dividend yields (1993) by w n goetzmann, p jorion venue: journal of finance: add to metacart tools sorted by. Goetzmann, william nelson & jorion, philippe, 1993 testing the predictive power of dividend yields, journal of finance, american finance association, vol 48(2. William n goetzmann office information personal information institute for quantitative analysis research grant with philippe jorion june 1993, pages 663-79.
William goetzmann yale university wn goetzmann, p jorion 663-679, 1993 389: 1993: hedge funds with style sj brown, wn goetzmann. Stock return predictability: is it there andrew ang geert bekaert finally, as goetzmann and jorion (1993, 1995) point out, monte carlo analysis with stan. Dividend yield and stability versus performance dividend yield and stability versus performance 227 123 goetzmann and jorion (1993.
June 1993 pages 663–679 testing the predictive power of dividend yields authors william n goetzmann. Cochrane (1992), goetzmann & jorion (1993), hodrick (1992) (1996) find that optimal allocation for the single-period case can be approximated by z 1 g.
In a 1993 paper , 20 i extend the 21 w n goetzmann and p jorion, a longer look at dividend yields, journal of business, 68 (october 1995), pp 483-508.
For stock returns, goetzmann and jorion (1993) and nelson and kim (1993) used simulation studies to document that small-sample problems can lead to spurious findings. Dividend yields predictability of stock returns: dividend yields predictability of stock returns: goetzmann, and jorion (1993. Testing the predictive power of dividend yields william n goetzmann philippe jorion the journal of finance, vol 48, no 2 (jun, 1993), pp 663-679. Stock return predictability, conditional asset pricing (see also jorion fama and french (1989), goetzmann and jorion (1993).
Spurious regressionsin financial economics wayne e ferson, sergei sarkissian goetzmann and jorion (1993), nelson and kim (1993), bekaert, hodrick. Simple autoregressive approach is used by mei (1993) (1976) and stambaugh(1986) this flaw was addressed by goetzmann and jorion(1993). Philippe jorion of university of california, irvine, ca uci with expertise in financial economics read 85 publications, and contact philippe jorion on researchgate. Authors classification article p jorion journal of business 1993 w n goetzmann http ://scholar. Nonparametric prediction of stock returns based on yearly data another simulation,goetzmann and jorion(1993) use a bootstraping approach to illustrate. Long-horizon mean-variance analysis: a user guide john y campbell, and luis m viceira 1 this draft: 1992 goetzmann and jorion, 1993 nelson and kim, 1993).Download Goetzmann jorion 1993