Semi-Parametric Estimation and the Predictability of Stock Market Returns: Some Lessons from Japan
用半参数、GARCH和滞后平方回报三种方法衡量风险，发现四个预测变量对日本股票回报有额外预测力，且与美韩不同，日本滞后股息收益率与回报无正相关。
The paper attempts to explore whether lagged variables that help predict stock returns are merely proxying for mis-measured risk. Therefore, three different ways of measuring risk are employed (i.e. semi-parametric, GARCH and lagged squared returns). In an application to Japanese data, four key predictor variables are shown to have non-trivial additional forecasting power irrespective of how we measure risk. Interestingly, unlike the U.S., the level of the lagged dividend yield is not positively correlated with returns in either Japan or South Korea.