Assessing the Economic Significance of Return Predictability: A Research Note
通过分析预测变量对投资者最优投资组合配置的影响，评估了股票收益可预测性的经济意义，发现考虑估计风险后预测性证据减弱，其中股息收益率是最重要的预测变量。
The predictability of stock returns is often assessed using classical statistical significance from predictive regressions. Statistical inference, however, can belie the economic importance with which investors regard various predictors. This paper examines the influence that predictors have on an investor's optimal portfolio allocations. The results show that return predictability is sufficient to induce horizon effects in optimal allocations. After incorporating estimation risk, however, little evidence of predictability remains. We also assess the relative importance of three predictor variables. While dividend yield is the most important predictor, optimal allocations are also sensitive to the term spread and the relative bill rate.