Tug-of-War: Time-Varying Predictability of Stock Returns and Dividend Growth*

DOI10.1093/ROF/RFU047zbMath1404.62117OpenAlexW1983446400MaRDI QIDQ4554756

Xiaoneng Zhu

Publication date: 9 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rfu047

zbMATH Keywords

regime-switching present-value modeltime-varying predictability

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: hypothesis testing (62M02)

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