Poterba and summers 1988

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Web25 Jun 2014 · One, partial, explanation comes from the observation by various researchers including Poterba and Summers (1988) and Fama and French (1988), of positive short-term autocorrelation among stock returns and negative longer-term autocorrelation. Webon the autocorrelation function of returns (Conrad and Kaul 1988, Fama and French 1988a, Lo and MacKinlay 1988, Poterba and Summers 1988). But as we discuss below, it is possible for ex O3 returns to be driven largely by changing expectations of future returns, even if the autocorrelations of returns are all zero or very close to zero. Thus

The Dividend-Price Ratio and Expectations of Future …

WebŽ. Ž. Ž.1988 , Poterba and Summers 1988 , and Kim et al. 1991 find that the mean reversion evidence is extremely sensitive to the inclusion of 1930s and 1940s data in estimation. Our regression approach can be contrasted with the simulation approach typically used to test explanations of the mean reversion evidence. For instance, WebPoterba and Summers (1988) observe that the failure to distinguish between low-frequency mean reversion and complete unpredictability of returns lies in the power of the tests used to examine them. For instance, a test of mean reversion in 5-year stock market returns based on the data available from the Center for Research in Security Prices cheap around the world flights

Dynamic conditional correlation approach to the linkage between …

WebThe third approach is what I call the direct testing approach (Lo and MacKinlay 1988 and Poterba and Summers 1988). This approach uses some kind of statistical measures like variance-ratio tests to test if stock prices follow \random walks." However, this approach does not tell us what processes prices follow if the \random walk" hypothesis is ... WebIn empirical studies that involve long-term UK market evidence Poterba and Summers (1988) find negative serial correlation consistent with overreaction, while Dissanaike (1997) employs contrarian strategies adjusted for risk and also finds that past losers outperform past winners. Furthermore, Brouwer et al., (1997) come to similar Web1 Oct 1988 · Volume 22, Issue 1, October 1988, Pages 27-59 Mean reversion in stock prices: Evidence and Implications James M. Poterba , Lawrence H. Summers Add to Mendeley … cute denver broncos sweatpants

Optimal Rebalancing Frequency for Stock-Bond Portfolios - SSRN

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WebJames Poterba ( [email protected]) and Lawrence Summers Journal of Financial Economics, 1988, vol. 22, issue 1, 27-59 Date: 1988 References: Add references at CitEc … WebJames M. Poterba Lawrence H. Summers Working Paper No. 1353 NATIONAi BUREAU OF ECONOMIC RESEARCH 1050 Massachusetts Avenue Cambridge, MA 02138 May 19814 … cheap arrows for recurveWebtion through a framework relating the real This paper presents a model for the and financial decisions, the most ambianalysis of the joint effects of taxation on tious are those of Brimmer and Sinai the real and financial decisions of the firm. (1976), and of Sinai et al. (1982). In these The model is composed of three recursive studies, the integration of the … cute demon boys

"WebThe following model, used in Fama and French (1988) and Cutler, Poterba, and Summers (1991), can capture both the traditional model and the idea of fads: (1) (2) where pt is the log of the stock market price in period t, pt * is the non-stationary component of the log price, and εt is white noise. Under the traditional model, log prices are a ... " - Poterba and summers 1988

Poterba and summers 1988

Mean Reversion in Stock Prices: Evidence and Implications - SSRN

http://fmwww.bc.edu/repec/mmfc05/paper64.pdf WebThird, Poterba and Summers (1988) show that for specifica-tions of the equity risk process which are consistent with empirical findings on volatility, increases in risk which raise …

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WebLawrence Henry Summers (d. 30 Kasım 1954; New Haven, Connecticut), 1999'dan 2001'e kadar Amerika Birleşik Devletleri hazine bakanı ve 2009'dan 2010'a kadar Ulusal Ekonomi Konseyi'nin direktörü olarak görev yapan Amerikalı ekonomist ve siyasetçi.Ayrıca 2001'den 2006'ya kadar Harvard Üniversitesi'nin başkanı olarak görev yaptı.. Summers, 1983'te … http://research.economics.unsw.edu.au/jmorley/kmn01.pdf

WebPoterba, James M. and Lawrence H. Summers. "The Economic Effects of Dividend Taxation." Recent Advances in Corporate Finance, edited by Edward Altman and Marti Subrahmanyam, pp. 227-284. Homewood, IL: Richard D. Irwin Publishers, 1985. Topics Financial Economics WebJames M. Poterba & Lawrence H. Summers. Working Paper 1353. DOI 10.3386/w1353. Issue Date May 1984. This paper tests several competing hypotheses about the economic …

Web1 Jul 2024 · 政大學術集成(NCCU Academic Hub)是以機構為主體、作者為視角的學術產出典藏及分析平台，由政治大學原有的機構典藏轉型而成。 Web1 Oct 1988 · Poterba and L H. Swnmers, Mean reversion in stock prices 45 less evidence of serial correlation than the results that subtract the market return. These results suggest …

WebIssue Date March 1988. This paper estimates the fraction of the variance in aggregate stock returns that can be attributed to various kinds of news. First, we consider macroeconomic …

Web16 Jun 2004 · See all articles by James M. Poterba James M. Poterba. Massachusetts Institute of Technology (MIT) - Department of Economics; National Bureau of Economic Research (NBER) ... Poterba, James M. and Poterba, James M. and Summers, Lawrence H., Mean Reversion in Stock Prices: Evidence and Implications (August 1987). NBER Working … cute designs to draw in cupWebThe VR test is often used (see Cochrane, 1988; Lo and MacKinlay, 1988; Poterba and Summers, 1988; among others) to test the hypothesis that a given time series or its ﬁrst difference (or return), xt =yt −yt−1, is a collection of i.i.d. observations or that it follows a martingale difference sequence. Deﬁne the VR of k-period return as V ... cute designs for a rain jacketWebIn a related literature, a number of studies have found evidence of mean reversion in returns on stock portfolios at horizons of three to five years or longer (Poterba and Summers 1988; Fama and French 1988). This implies that a long period of below-average stock returns increases the likelihood of a period of above-average returns in the future. cheap arsenal tickets ticketmasterWebPoterba and Summers (1988) analyzed real (as distinct from excess) returns excluding dividends and computed from monthly averages of stock prices as reported by the … cute designer business cardsWeb(1984), Fama and French (1988a, b) for the U.S. market, Poterba and Summers (1988), Cutler, Poterba and Summers (1991) for U.S. and European markets and Sentana and Wadhwani (1991) for the Japanese market, among many. Fama and French (1988a) and Poterba and Summers (1988) show that there appears to be evidence for a mean … cute dental backgroundsWebexplained by the variability of the volatility of stock returns. Against this, Poterba and Summers (1986) have argued that volatility is not persistent enough to account for much … cheap ar suppressorWeb3Poterba and Summers (1988) present evidence on the low power of regression tests and variance ratio tests of serial dependence in returns. Both of these tests can be expressed … cute designs for drawing