Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets
使用滞后超额收益、股息收益率和远期溢价作为工具变量，通过向量自回归和潜变量模型，刻画了主要股票和外汇市场超额收益中的可预测成分，并探讨了其与资产定价模型的关系。
The paper characterizes predictable components in excess rates of returns on major equity and foreign exchange markets using lagged excess returns, dividend yields, and forward premiums as instruments. Vector autoregressive techniques demonstrate one-step-ahead predictability and provide implied long-horizon statistics. We estimate latent variable models as constrained counterparts to the VARs. The predictability of returns is related to asset pricing models by examining the volatility bounds on intertemporal marginal rates of substitution.