English, Article, Journal or magazine article edition: Measuring the Persistence of Expected Returns John Y. Campbell

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Bookmark: http://trove.nla.gov.au/version/140709
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Measuring the Persistence of Expected Returns
Author
  • John Y. Campbell
Physical Description
  • preprint
Notes
  • This paper summarizes earlier research On the sources of variation in monthly U.S. stock returns in the period 1927-88. A log-linear model is used to break unexpected returns into changing expectations about future dividends and changing expectations about future returns. Even though stock returns are not highly forecastable, the model attributes one-third of the variation in returns to changing expected returns, one-third to changing future dividends, and one-third to the covariance between these components. Changing expected returns have a large effect on the stock market because their movements are persistent and negatively correlated with changing expected dividends.
  • RePEc:nbr:nberwo:3305
Language
  • English
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