State-Space Model and Present Value Model: An Application to the Korean Stock Market

• 발행기관: 한국계량경제학회
• 저자명: Kwang Hun Choi Cheolbeom Park
• 간행물 정보: 『JOURNAL OF ECONOMIC THEORY AND ECONOMETRICS』Vol.24 No.1, 1~15쪽, 전체 14쪽
• 주제분류: 경제경영 > 경제학
• 파일형태: PDF
• 발행일자: 2013.03.31

영문 초록

We have applied the state-space model to the Korean stock market under restrictions imposed by the present-value relation. Our main findings are (i) expected stock returns vary over time and have persistent and predictable component, (ii) expected dividend growth rates do not contain persistent and predictable component, (iii) expected stock returns play relatively more important role in explaining variations in the price-dividend ratio, (iv) shocks to expected stock returns are also more crucial in understanding unexpected stock return shocks, and (v) the state-space model does not appear to perform better than the predictive regression in terms of the ability in forecasting stock returns or dividend growth rates.

목차

Abstract

1. INTRODUCTION

2. THE ECONOMETRIC MODEL

3. EMPIRICAL RESULTS

4. CONCLUSIONS

REFERENCES

키워드

expected stock returns expected dividend growth rates pricedividend ratio present-value model state-space model