论文标题
全球150年的回报可预测性：整体观点
150 Years of Return Predictability Around the World: A Holistic View
论文作者
论文摘要
使用债券，股票和住房市场的16个发达国家的新年度数据，我使用支出价格比率（即息票价，股息价格和租金价格）研究回报可预测性。 48个国家 /地区的组合都没有表现出一致的样本外和样本外部性能，而平均变化投资者的效用为积极的效用。只有3（4/2）个国家在其股权（住房/债券）市场中表现出积极的经济增长。代表代理商的风险资产组合和财富投资组合的回报可预测性甚至更弱，这表明使用支出价格比率为国家的投资回报计时不会使投资者变得更好。 Cochrane（2008，2011）基于VAR分析的预测回归表明，14（5）个国家的股本（住房）市场的支付增长可预测，例如，股息价格预测了美国的股息增长。使用来自所有国家 /地区的数据的VAR模拟并不拒绝股息增长是可以预测的零。本文根据支付比率提供了针对收益可预测性的确保证据。
Using new annual data of 16 developed countries across bond, equity, and housing markets, I study the return predictability using the payout-price ratios, i.e., coupon price, dividend price, and rent price. None of the 48 country-asset combinations shows consistent in-sample and out-of-sample performance with positive utility gain for the mean-variance investor. Only 3 (4/2) countries show positive economic gains in their equity (housing/bond) markets. The return predictability for the representative agents' risky asset portfolios and wealth portfolios is even weaker, suggesting that timing the investment return of a country using payout-price ratios will not make the investors better off. The predictive regressions based on the VAR analysis by Cochrane (2008, 2011) suggest that 14 (5) countries have predictable payout growth in the equity (housing) markets, ex., the dividend price predicts the dividend growth in the US. The VAR simulation using data from all the countries does not reject the null that the dividend growth is predictable. This paper presents firm evidence against the return predictability based on payout ratios.
