This service is more advanced with JavaScript available, learn more at http: Data Analysis, Machine Learning and Applications pp We derive a vector autoregressive VAR representation from the dynamic dividend discount model to predict stock returns. This valuation approach with time-varying expected returns is augmented with macroeconomic variables that should explain time variation in expected returns and cash flows.

The VAR is estimated by a Bayesian approach to reduce some of the statistical problems of earlier studies. This model is applied to forecasting the returns of a portfolio of large German firms.

A Vector Autoregressive (VAR) Model for the Turkish Financial Markets | Yakup ARI - yvajotefihy.web.fc2.com

While the absolute forecasting performance of the Bayesian vector-autoregressive model BVAR is not significantly different from a naive no-change forecast, the predictions of the BVAR are better than alternative time-series models. When including past stock returns instead of macroeconomic variables, the forecasting performance becomes superior relative to the naive no-change forecast especially over longer horizons.

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Stock Market and Monetary Policy Versus Inflation: A Time Series Approach

Not logged in Not affiliated Predicting Stock Returns with Bayesian Vector Autoregressive Models. Cite this paper as: Studies in Classification, Data Analysis, and Knowledge Organization. Stock Return Predictability and Model Uncertainty.

Predicting Stock Returns with Bayesian Vector Autoregressive Models | SpringerLink

Journal of Finan-cial Economics, 64, Asset Pricing Models and Financial Market Anomalies. Review of Financial Studies, 19, 3, Fi-nanzmarkt und Portfoliomanagement, 4, The Dividend-price Ratio and Expectations of Future Dividends and Discount Factors. Review of Financial Studies, 1, 3, A Bayesian Model Selection Per- spective. Review of Financial Studies, 15, 4, CrossRef MathSciNet Google Scholar. Dividend Yields and Expected Stock Returns.

Journal of Financial Economics, 22, Spurious regressions in financial economics?

Dividend Yields and Expected Stock Returns: Alternative Proce-dures for Inference and Measurement. Review of Financial Studies, 5, 3, Predictable Components in Stock Returns. Statistical Methods in Finance.

Elsevier Science, Amsterdam, Forecasting with Bayesian Vector Autoregressions U Five Years of Experience. On the Short-term Predictability of Exchange Rates - A BVAR Time-varying Parameters Approach. Center for Finance and Banking Giessen Germany.

CiteSeerX — Using Vector Autoregression Models to Analyze the Behavior of the European Community Stock Markets

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