En Vox hay una reseña de un trabajo que investiga el valor predictivo (sobre los retornos) de una variable demográfica: el ratio entre adultos de mediana edad y jóvenes adultos.
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fundamentals perform better in predicting returns as the predictive horizon gets longer. In particular, the dynamic dividend growth model (Campbell-Shiller 1988) suggests that the relevant fundamental to capture the information component in stock market returns is the dividend-price ratio. This variable regularly plays an important role in recent empirical literature that has replaced the long tradition of the efficient market hypothesis with a view of predictability of returns
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Intuitive reasoning hints at demography as an important variable to determine the long-run behaviour of the stock market, while it is difficult to imagine a relationship between high-frequency fluctuations in stock market prices and a slow-moving trend determined by demographic factors.
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In a recent CEPR Discussion Paper (Favero et al. 2010), we take the Geanakopoulos et al. model to the data via the conjecture that fluctuations in the middle-aged-to-young ratio could capture a slowly evolving mean in the dividend price ratio within the dynamic dividend growth model.
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El paper se llama Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns.
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