A Variance Decomposition for Stock Returns
收藏NBER1990-01-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3246
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资源简介：
This paper shows that unexpected stock returns must be associated with changes in expected future dividends or expected future returns A vector autoregressive method is used to break unexpected stock returns into these two components. In U.S. monthly data in 1927-88, one-third of the variance of
提供机构：
美国国家经济研究局
创建时间：
1990-01-01
