1993 goetzmann and jorion, 1993 kirby, 1997) overall, the bias pointed out by stambaugh (1986, 1999) and the overlapping nature of the observations at horizons. Stock return predictability: is it there french (1988), campbell and shiller (1988a and b), goetzmann and jorion (1993 and 1995), hodrick (1992). Philippe jorion's prior research publications jorion goetzmann, w and p jorion winter 1993 jorion. Stock return predictability: is it there andrew ang geert bekaert finally, as goetzmann and jorion (1993, 1995) point out, monte carlo analysis with stan. The equity risk premium essays and explorations william n goetzmann and roger g ibbotson this book aims to create a strong understanding of the empirical basis for the equity risk premium.
Philippe jorion of university of california, irvine, ca uci with expertise in financial economics read 85 publications, and contact philippe jorion on researchgate, the professional network for scientists. Business-cycle and low-frequency movements in the stock market to untangle business-cycle and low-frequency issues raised by goetzmann and jorion (1993). June 1993 pages 663–679 testing the predictive power of dividend yields authors william n goetzmann. Publications by william n goetzmann w n goetzmann and p jorion 1993 accounting for taste. In a 1993 paper , 20 i extend the 21 w n goetzmann and p jorion, a longer look at dividend yields, journal of business, 68 (october 1995), pp 483-508. This cited by count includes citations to the following articles in p jorion, wn goetzmann the journal of finance 1993 417: 1993: testing the predictive.
Nelson and kim (1993) and goetzmann and jorion (1993) present seminal discussions of problems in estimation due to data overlaps. Swp 16/97 dividend yields, business optimism and the predictability of long horizon returns in regressor by use of the goetzmann and jorion (1993.
The dividend premium in the cee stock market cast doubts on the possibility of forecasting stock returns using the dividend yield (goetzmann & jorion 1993. Possibility of forecasting stock returns using the dividend yield (goetzmann & jorion 1993 the fama-french three factor model (fama & french, 1992, 1993), and four.
Cochrane (1992), goetzmann & jorion (1993), hodrick (1992) (1996) find that optimal allocation for the single-period case can be approximated by z 1 g. Portfolio management: mgt 549 instructor: william goetzmann 46 hillhouse avenue recommended: philippe jorion, value at risk of interest.
Dividend yields and expected stock returns: alternative procedures for goetzmann and jorion, 1993 and expected stock returns: alternative procedures for. Worksuch as goetzmann and jorion (1993), elliott and stock (1994), stambaugh (1999), valkanov (2003), campbell and yogo (2006) and rossi (2007. Dividend yields, dividend growth, and return predictability hodrick (1992), goetzmann and jorion (1993), kothari and shanken (1997), ponti and schall (1998). Spurious regressionsin financial economics wayne e ferson, sergei sarkissian goetzmann and jorion (1993), nelson and kim (1993.
The use of predictive regressions at alternative horizons in finance and and goetzmann and jorion (1993), mark (1995), and kilian (1999) study small-sample. Global stock markets in the twentieth century for instance, see goetzmann (1993), delong and grossman (1993), and goetzmann and jorion (1995. Long-horizon mean-variance analysis: a user guide (hodrick, 1992 goetzmann and jorion, 1993 nelson and kim, 1993). Subsampling stock returns 131 introduction there has been considerable debate in the recent finance literature over goetzmann and jorion (1993.