Predicting returns and dividend growth — The role of non-Gaussian innovations
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DOI: 10.1016/j.frl.2021.102315
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- Kiss, Tamás & Mazur, Stepan & Nguyen, Hoang, 2021. "Predicting returns and dividend growth - the role of non-Gaussian innovations," Working Papers 2021:10, Örebro University, School of Business.
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- Andrew Grant & Oh Kang Kwon & Steve Satchell, 2024. "Properties of risk aversion estimated from portfolio weights," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 427-444, September.
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More about this item
Keywords
Bayesian VAR; Dividend growth predictability; Predictive regression; Return predictability;All these keywords.
JEL classification:
- C11 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Bayesian Analysis: General
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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