Simple Forecasts And Paradigm Shifts  

Oleh:

Hong, Harrison ; Stein, Jeremy C. ; Jialin Yu

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 62 no. 3 (Jun. 2007), page 1207-1242.
Topik: FORECASTING; studies; models; multivariate analysis; forecasting; volatility; rates of return
Fulltext: p 1207.pdf (193.17KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Isi artikel

We study the asset pricing implications of learning in an environment in which the true model of the world is a multivariate one, but agents update only over the class of simple univariate models. Thus, if a particular simple model does a poor job of forecasting over a period of time, it is discarded in favor of an alternative simple model. The theory yields a number of distinctive predictions for stock returns, generating forecastable variation in the magnitude of the value-glamour return differential, in volatility, and in the skewness of returns. We validate several of these predictions empirically.

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