Skip Navigation

This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Similar articles in ISI Web of Science
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrow Search for citing articles in:
ISI Web of Science (17)
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by Kirby, C.
Right arrow Search for Related Content
Related Collections
Right arrow C53 - Forecasting and Other Model Applications
Right arrow G12 - Asset Pricing; Trading volume; Bond Interest Rates
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Rev Fin 1997; 10:579-630
© 1997 the Society for Financial Studies

Article

Measuring the predictable variation in stock and bond returns

C Kirby
School of Management, University of Texas at Dallas, Richardson, TX 75083-0688, USA

Abstract

Recent studies show that when a regression model is used to forecast stock and bond returns, the sample R2 increases dramatically with the length of the return horizon. These studies argue, therefore, that long-horizon returns are highly predictable. This article presents evidence that suggests otherwise. Long-horizon regressions can easily yield large values of the sample R2, even if the populations R2 is smaller or zero. Moreover, long-horizon regressions with a small or zero population R2 can produce t-ratios that might be interpreted as evidence of strong predictability. In general, the analysis provides little support for the view that long-horizon returns are highly predictable.


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?


This article has been cited by other articles:


Home page
 REV FINANC STUDHome page
T. Bollerslev, G. Tauchen, and H. Zhou
Expected Stock Returns and Variance Risk Premia
Rev. Financ. Stud., November 1, 2009; 22(11): 4463 - 4492.
[Abstract] [Full Text] [PDF]

Home page
 REV FINANC STUDHome page
J. Boudoukh, M. Richardson, and R. F. Whitelaw
The Myth of Long-Horizon Predictability
Rev. Financ. Stud., July 1, 2008; 21(4): 1577 - 1605.
[Abstract] [Full Text] [PDF]

Home page
 JOURNAL OF FINANCIAL ECONOMETRICSHome page
D. E. Rapach and M. E. Wohar
Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns
J. Financial Econometrics, April 1, 2006; 4(2): 238 - 274.
[Abstract] [Full Text] [PDF]


Disclaimer: Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.