Excess stock returns and news: evidence from European markets
分解欧洲五大股市超额收益的预测误差方差，发现股息收益率的结构性断点会导致方差分解的小样本偏差，提醒研究者注意预测方程中变量的非平稳性。
This paper aims at decomposing the forecast error variance of excess returns in five major European stock markets into the variance of news about future excess returns, dividends and real interest rates. Special emphasis is given on the issue of stationarity and structural breaks in the unconditional mean of dividend yields and their implications for variance decompositions. Empirical results indicate that in some markets the dividend yield is subject to structural breaks in the mean. Evidence from Monte Carlo simulations suggests that this kind of structural breaks cause small‐sample bias in variance decompositions of a magnitude comparable to bias introduced by unit roots. Our results constitute a warning about return decompositions that, in particular, use variables in the forecasting equations that may be nonstationary or contain a structural break.