Efficient Tests of Stock Return Predictability

By John Y. Campbell, Motohiro Yogo. 2006

891 citations recorded by the source corpus.

Subfields: Accounting, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/4230baa62bf70361e96430e48a22986f131e3f64

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Citations in the corpus

Instrumental variable and variable addition based inference in predictive regressions (2015, methodology): “The statistic π∗ represents the test proposed by Jansson and Moreira (2006) and “CY-Q” refers to the Bonferroni Q statistic of Campbell and Yogo (2006).8 The original variable addition test proposed by Dolado and Lütkepohl (1996) (i.”
NEARLY OPTIMAL TESTS WHEN A NUISANCE PARAMETER IS PRESENT UNDER THE NULL HYPOTHESIS (2015, neutral): “Figure 4 shows that the resulting nearly optimal test has close to uniformly higher power than the test developed by Campbell and Yogo (2006). Unreported results show a similar picture when ρ = ±0.”
Predictive quantile regression with persistent covariates: IVX-QR approach (2015, positive): “For example, Campbell and Yogo (2006) suggested 7.5%, for a nominal 5% level.”
Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? (2009, neutral): “Unlike the present study, these papers assume that the true distribution of returns is iid and focus on the cross- section.”
The Asset-Pricing Implications of Government Economic Policy Uncertainty (2015, positive): “Stambaugh (1999) and Campbell and Yogo (2006), among others, extend the finding to show these two conditions can also bias predictability regressions in finite samples.”
Forecasting the Equity Risk Premium: The Role of Technical Indicators (2014, neutral): “Dividend yield (log), DY: log of a twelve-month moving sum of dividends minus the log of lagged 3Amihud and Hurvich (2004), Lewellen (2004), Campbell and Yogo (2006), and Amihud, Hurvich, and Wang (2009) develop predictive regression tests that explicitly account for the Stambaugh bias.”
Investor attention, psychological anchors, and stock return predictability (2012, neutral): “In particular, when predictor variables are persistent and the innovations in the predictors are highly correlated with the variable being predicted, the small sample biases can be severe (see, for example, Stambaugh (1986, 1999), Valkanov (2003), and Campbell and Yogo (2006)).”
Bond Risk, Bond Return Volatility, and the Term Structure of Interest Rates (2012, neutral): “Barsky, R. B., 1989, “Why Don’t the Prices of Stocks and Bonds Move Together?,” The American Economic Review 79(5), 1132-1145.”
Predicting Global Stock Returns (2008, positive): “The short interest rate and the term spread are generally less endogenous, and inference based on the fixed effects estimator for these two variables will be fairly accurate (see also the discussion on this topic in Campbell and Yogo (2006)).”
Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability (2006, neutral): “Following Campbell, Lo, and MacKinlay (1997); Stambaugh (1999); Campbell and Yogo (2002) ; Ang and Bekaert (2006); and many others we estimate an AR(1) process for the log dividend-price ratio.”
Multiple-Predictor Regressions: Hypothesis Testing (2009, positive): “In these simulations, we estimate the covariance matrix of β̂ by (7) and (8) and use it in hypothesis testing.”
A Habit-Based Explanation of the Exchange Rate Risk Premium (2010, positive): “For the US, the link between nominal interest rates and equity excess returns is known since Fama and Schwert (1977), and Campbell and Yogo (2006) show that it is robust. For France, Germany, Japan and Switzerland over the 1990-2003 period, Hau and Rey (2004) find that a negative shock to the foreig”
The empirical risk–return relation: A factor analysis approach ☆ (2006, neutral): “See, e.g., Campbell and Yogo (2002), Campbell and Thompson (2005), Goyal and Welch (2004), and Lewellen (2004).”
The Myth of Long-Horizon Predictability (2005, neutral): “This is the exact pattern documented in the original Fama and French (1988a) and Campbell and Shiller (1988) articles.”
Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies (2010, positive): “7 This range for c covers most of the plausible values documented in the literature; see, for example, Stock (1991) and Campbell and Yogo (2006).”