Goetzmann Jorion 1993
Testing the Predictive Power of Dividend Yields William N. Goetzmann; Philippe Jorion The Journal of Finance, Vol. 48, No. 2. (Jun., 1993), pp. 663-679.
Stable URL: http://links.jstor.org/sici?sici=0022-1082%28199306%2948%3A2%3C663%3ATTPPOD%3E2.0.CO%3B2-7 The Journal of Finance is currently published by American Finance Association.
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http://www.jstor.org Wed May 2 16:18:43 2007
THE JOURNAL OF FINANCE
VOL. XLVIII, NO. 2
JUNE 1993
Testing the Predictive Power of Dividend Yields
WILLIAM N. GOETZMANN and PHII,IPPE JORION*
ABSTRACT
This paper reexamines the ability of dividend yields to predict long-horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Overall there is
Stable URL: http://links.jstor.org/sici?sici=0022-1082%28199306%2948%3A2%3C663%3ATTPPOD%3E2.0.CO%3B2-7 The Journal of Finance is currently published by American Finance Association.
Your use of the JSTOR archive indicates your acceptance of JSTOR 's Terms and Conditions of Use, available at http://www.jstor.org/about/terms.html. JSTOR 's Terms and Conditions of Use provides, in part, that unless you have obtained prior permission, you may not download an entire issue of a journal or multiple copies of articles, and you may use content in the JSTOR archive only for your personal, non-commercial use. Please contact the publisher regarding any further use of this work. Publisher contact information may be obtained at http://www.jstor.org/journals/afina.html. Each copy of any part of a JSTOR transmission must contain the same copyright notice that appears on the screen or printed page of such transmission.
JSTOR is an independent not-for-profit organization dedicated to and preserving a digital archive of scholarly journals. For more information regarding JSTOR, please contact support@jstor.org.
http://www.jstor.org Wed May 2 16:18:43 2007
THE JOURNAL OF FINANCE
VOL. XLVIII, NO. 2
JUNE 1993
Testing the Predictive Power of Dividend Yields
WILLIAM N. GOETZMANN and PHII,IPPE JORION*
ABSTRACT
This paper reexamines the ability of dividend yields to predict long-horizon stock returns. We use the bootstrap methodology, as well as simulations, to examine the distribution of test statistics under the null hypothesis of no forecasting ability. These experiments are constructed so as to maintain the dynamics of regressions with lagged dependent variables over long horizons. We find that the empirically observed statistics are well within the 95% bounds of their simulated distributions. Overall there is
Citations: - Page 4 of 4 - Qualms About Bootstrap Confidence Intervals Nathaniel Schenker Journal of the American Statistical Association, Vol. 80, No. 390. (Jun., 1985), pp. 360-361. Stable URL: http://links.jstor.org/sici?sici=0162-1459%28198506%2980%3A390%3C360%3AQABCI%3E2.0.CO%3B2-H A Heteroskedasticity-Consistent Covariance Matrix Estimator and a Direct Test for Heteroskedasticity Halbert White Econometrica, Vol. 48, No. 4. (May, 1980), pp. 817-838. Stable URL: http://links.jstor.org/sici?sici=0012-9682%28198005%2948%3A4%3C817%3AAHCMEA%3E2.0.CO%3B2-K NOTE: The reference numbering from the original has been maintained in this citation list.