资产回报率可预测性检验.pdfVIP

议。由于金融时间序列存在 回报率存在相关性，传统的 验的结论不能成为否认预测 检验的不足，可有效检验收 end to ratio)和盈利价 price ，再进行非参检验。之后， 率和股利与价格比率对股票 关键词：资产回报率；t检验；非参检验 Abstract Numerousstudiesinthelast twodecadeshavetriedtoanswerthe question onwhether assetreturnscallbe financial predictedby variables．Conventionalt-test ofthe ofasset returnstendsto thenull predictability reject too whenthe frequently variableis predictor anditsinnovationsare correlatedwith high-persistent highly returns·Wea testto the developnonparametric linear ofasset testing predictability returnsandfinda evidenceforthe of and strong predictabilitydividend／price ratiostoexcessstockreturns． earnings／price Words：Asset Key test；U．statistic． 目 录 1引言…………………………………………………………………………………………．1 1．1线性预测模型 1．2金融变量与预测模型误差项相关的影响…………………………………………．2 1．3金融变量高持续性的影响………………………………………………………………2 1．4非线性预测模型……………………………………………………………………………．4 1．5非参数检验…