Earticle

초록

영어

This paper proposes a liquidity-adjusted dividend-ratio model. Motivated by the liquidityadjusted asset pricing theory, we show that (log) stock prices, dividends, and stock liquidity are cointegrated and define their linear combination as liquidity-adjusted price-dividend ratios. By considering the potential effect of stock liquidity, our model improves not only the stationarity of price-dividend ratios but also out-of-sample forecasts of returns. We show that our model helps explain a number of asset pricing puzzles such as the equity volatility puzzle and unusual stock market behavior in the 1990s.

목차

Abstract
 1. Introduction
 2. Theoretical Framework
 3. Estimating Liquidity-Adjusted Price-Dividend Ratios
 4. Data
 5. Vector Autoregressions and the Liquidity-Adjusted Dividend-Ratio Model
 6. In-Sample Long Horizon Forecasting Regressions
 7. Out-Of-Sample Forecasting Regressions
  7.1. Non-nested Forecast Comparison
  7.2. Nested Forecast Comparison
 8. Robustness
 9. Summary and conclusion
 References
 Table
 Figure

키워드

저자

• Bong-Gyu Jang [ POSTECH in Korea ]
• Bong Soo Lee [ Florida State University. ]
• Hyun-Tak Lee [ POSTECH in Korea ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330