Stock returns and real growth: A Bayesian nonparametric approach

doi:10.1016/j.jempfin.2019.06.005

	Stock returns and real growth: A Bayesian nonparametric approach
	Yang, Qiao
	2019-09
发表期刊	JOURNAL OF EMPIRICAL FINANCE (IF:2.1[JCR-2023],3.0[5-Year])
ISSN	0927-5398
卷号	53 页码:53-69
发表状态	已发表
DOI	10.1016/j.jempfin.2019.06.005
摘要	This study constructs a Bayesian nonparametric model to investigate whether stock market returns predict real economic growth. Unlike earlier studies, our use of an infinite hidden Markov model enables parameters to be time-varying across an infinite number of Markov-switching states estimated from data rather than fixed like a prior. Our model exhibits significantly greater accuracy in out-of-sample density forecasts. We uncover strong evidence of the time-varying power of lagged stock returns to predict economic growth.
关键词	Hierarchical dirichlet process prior Beam sampling Markov-switching MCMC
收录类别	SSCI
语种	英语
WOS研究方向	Business & Economics
WOS类目	Business, Finance ; Economics
WOS记录号	WOS:000487566200004
出版者	ELSEVIER
WOS关键词	MARKOV ; MODEL
原始文献类型	Article
引用统计	正在获取...
文献类型	期刊论文
条目标识符	https://kms.shanghaitech.edu.cn/handle/2MSLDSTB/80238
专题	创业与管理学院_PI研究组_杨乔组
通讯作者	Yang, Qiao
作者单位	ShanghaiTech Univ, Sch Entrepreneurship & Management, Shanghai, Peoples R China
第一作者单位	创业与管理学院
通讯作者单位	创业与管理学院
第一作者的第一单位	创业与管理学院
推荐引用方式 GB/T 7714	Yang, Qiao. Stock returns and real growth: A Bayesian nonparametric approach[J]. JOURNAL OF EMPIRICAL FINANCE,2019,53:53-69.
APA	Yang, Qiao.(2019).Stock returns and real growth: A Bayesian nonparametric approach.JOURNAL OF EMPIRICAL FINANCE,53,53-69.
MLA	Yang, Qiao."Stock returns and real growth: A Bayesian nonparametric approach".JOURNAL OF EMPIRICAL FINANCE 53(2019):53-69.