- Title
- A bootstrap test for predictability of asset returns
- Creator
- Kim, Jae H.; Shamsuddin, Abul
- Relation
- Finance Research Letters Vol. 35, no. 101289
- Publisher Link
- http://dx.doi.org/10.1016/j.frl.2019.09.004
- Publisher
- Elsevier
- Resource Type
- journal article
- Date
- 2020
- Description
- A bootstrap test is proposed for predictability of asset returns. The bootstrap is conducted with the likelihood ratio test in a restricted VAR form. The test shows no size distortion in small samples with desirable power properties. A wild bootstrap version, valid for financial returns showing unknown forms of conditional heteroskedasticty, is also proposed. As an application, predictive powers of dividend-price ratio and interest rate for U.S stock returns are evaluated.
- Subject
- GLS estimation; predictive regression; power analysis; restricted VAR; wild bootstrapping
- Identifier
- http://hdl.handle.net/1959.13/1462130
- Identifier
- uon:46391
- Identifier
- ISSN:1544-6123
- Language
- eng
- Reviewed
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