Go to  Advanced Search

Forecasting value-weighted real returns of TSE portfolios using dividend yields

Show full item record

Files in this item

Files Size Format Description   View
ubc_1993_fall_blanchard_wade.pdf 4.286Mb Adobe Portable Document Format   View/Open
Title: Forecasting value-weighted real returns of TSE portfolios using dividend yields
Author: Blanchard, Joseph W.
Degree: Master of Science - MSc
Program: Statistics
Copyright Date: 1993
Issue Date: 2008-09-18
Series/Report no. UBC Retrospective Theses Digitization Project [http://www.library.ubc.ca/archives/retro_theses/]
Abstract: We assess the ability of dividend yields denoted by DYt, to forecast value-weighted real returns, denoted by Rt ,T of Toronto Stock Exchange (TSE) portfolios for following return horizons, T: monthly, quarterly, and one to four year. Fama and French [4] applied similar methods to the New York Stock Exchange and found the forecast power increases as the return horizon increases. We find that the Fama and French methods generalize to TSE portfolios, however, it does not apply to all portfolios. We also determine that the Fama and French approach may not lie on solid statistical ground, in that the residual variance is not time invariant. With these drawbacks in mind we consider using the methods of Dynamic Linear Models as discussed in West and Harrison [13], which allow the model parameters to be time varying. We conclude that for the majority of the portfolios, the two methods agree, however, the regression DLM approach does slightly better in comparison with the methods of Fama and French in terms of standarized forecast errors.
Affiliation: Science, Faculty of
URI: http://hdl.handle.net/2429/2276
Scholarly Level: Graduate

This item appears in the following Collection(s)

Show full item record

UBC Library
1961 East Mall
Vancouver, B.C.
Canada V6T 1Z1
Tel: 604-822-6375
Fax: 604-822-3893