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股票价格中的市场基本面与理性泡沫：贝叶斯视角AI 解读

Abstract Using Bayesian Markov chain Monte Carlo methods, we decompose the log price‐dividend ratio into a market fundamentals component and a bubble component. The market fundamentals component depends on expectations of future dividend growth and required returns, while the bubble component is assumed to follow a Markov switching model that allows for the possibility of exploding and collapsing regimes. If prior beliefs allow for the possibility of persistent shocks to…

估值比率与长期股票价格可预测性AI 解读

Abstract Using annual data for 1872–1997, this paper re‐examines the predictability of real stock prices based on price–dividend and price–earnings ratios. In line with the extant literature, we find significant evidence of increased long‐horizon predictability; that is, the hypothesis that the current value of a valuation ratio is uncorrelated with future stock price changes cannot be rejected at short horizons but can be rejected at longer horizons based on bootstrapped…