Contact
Information The
University of Chicago
Booth School of Business
5807 S. Woodlawn Ave Room 384
Chicago, IL 60637
Phone: 773.751.8013
E-mail: jhe.yun@chicagobooth.edu
A Present-Value to Variable Selection I propose a present-value approach
to study which variables forecast returns and dividend growth rates, individually
and jointly. This approach explicitly models time-varying expected returns and expected dividend growth rates, and uses
information contained in additional predictors to filter them out from the price-dividend ratio within a present-value model. Using my approach, I can predict returns and dividend growth rates on the aggregate stock market
are predictable with R-squared values of 17% and 23%, respectively. I find
that Consumption-Wealth-Income
Ratio, Equity Issuing Activity Ratio, and Long Term Rate of Returns significantly improve the present-value
model. The approach outperforms standard predictive regressions both
in-sample and out-of-sample.
Work
in Progress
Quantifying the Effects of Uncertainty and
Heterogeneous Beliefs on Stock Prices and Trading I
introduce a model of trading that takes into account of agents'
uncertainty and heterogeneous beliefs over the future dividend growth
rates. I study the quantitative implications of the model on stock
prices, trading volume and price volatility. Short sale constraints in
the model generate a resale option value for holding the asset as in
Harrison and Kreps. I calibrate the model to match several moments of
the observed data. Given a calibrated model, I decompose the prices into
the fundamental component and the speculative component, quantifying the
effects of heterogeneous beliefs and uncertainty on stock prices and
trading volume.
How Do
Institutional Investors Behave? Evidence from Korea
