文档介绍：Stock Return Predictability:
Is it There?
 
Andrew Ang
Columbia University
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Geert Bekaert
Columbia University and NBER
First Version: 4 March 2001
JEL Classification Codes: C12, C51, C52, E49, F30, G12
Keywords: present value model, predictability, international predictability,
short rates, dividend yield, earnings yield
¢ We thank Xiaoyan Zhang for useful discussions and for help with data. We thank Charles Jones,
Tano Santos, Ken Singleton and seminar participants at Columbia University and Stanford University
for ments. Andrew Ang thanks the Chazen Institute at Columbia University for financial
support. Geert Bekaert thanks the NSF for financial support.
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Columbia Business School, 805 Uris Hall, 3022 Broadway, New York, NY 10027; ph: (212) 854-
9154; fax: (212) 662-8474; email: ******@; WWW: /¤ aa610.
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Columbia Business School, 802 Uris Hall, 3022 Broadway, New York, NY 10027; ph: (212) 854-
9156; fax: (212) 662-8474; email: ******@.
Abstract
We ask whether stock returns in France, Germany, Japan, the UK and the US are predictable
by three instruments: the dividend yield, the earnings yield and the short rate. The predictability
regression is suggested by a present value model with earnings growth, payout ratios and the
short rate as state variables. We use this model imposing a constant risk premium to examine
the finite sample evidence on predictability. Not only do we find the short rate to be a relevant
state variable theoretically, it is also the only robust short-run predictor of equity returns. The
evidence in Lamont (1998) on earnings and dividend yield predictability is not robust to our
increased sample period, does not survive finite sample corrections and does not extend to other
countries. We find no evidence of long-horizon predictability once we account for finite sample
influence. Finally, cross-country predictability appears stronger than predictability using local
instruments.
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