文档介绍：Efficient Tests of Stock Return Predictability
John Y. Campbell and Motohiro Yogo∗
September 9, 2002
Abstract
Empirical studies have suggested that stock returns can be predicted by financial
variables such as the dividend-price ratio. However, these studies typically ignore the
high persistence of predictor variables, which can make first-order asymptotics a poor
approximation in finite samples. Using a more accurate asymptotic approximation, we
propose two methods to deal with the persistence problem. First, we develop a pretest
that determines when the conventional t-test for predictability is misleading. Second,
we develop a new test of predictability that results in correct inference regardless of
the degree of persistence and is pared to existing methods. Applying our
methods to US data, we find that the dividend-price ratio and the smoothed earnings-
price ratio are sufficiently persistent for conventional inference to be highly misleading.
However, we find some evidence for predictability using our test, particularly with
the earnings-price ratio. We also find evidence for predictability with the short-term
interest rate and the long-short yield spread, for which the conventional t-test leads to
correct inference.
∗Department of Economics, Harvard University and NBER (john ******@); and Depart-
ment of Economics, Harvard University (******@). First draft: June 26, 2002. For helpful
comments we thank Andrew Ang, Markku Lanne, Marcelo Moreira, Robert Shiller, Mark Watson, and
participants at the 2002 Econometric Society Australasian Meeting.
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1 Introduction
Numerous studies in the last two decades have asked whether stock returns can be predicted
by financial variables such as the dividend-price ratio, the earnings-price ratio, and various
measures of the interest rate. (See for example Keim and Stambaugh (1986), Campbell
(1987), Campbell and Shiller (1988), Fama and French (1988, 1989), and Hod