Return Decomposition
Posted: Fri Jun 27, 2014 10:05 am
Hello guys
I wonder if anybody is familiar with return decomposition model developed by Campbell and Shiller (1988). This study uses VAR to decompose unexpected return into cash flow and discount rate news. I actually read the article several times and was lucky enough to find the data, but I wasn't successful to replicate the study in Eviews. I can do the VAR, but I have no clue how it is then used for decomposition.
I really appreciate your kind assistance in this issue. Feel free to ask for further info. Tq
I wonder if anybody is familiar with return decomposition model developed by Campbell and Shiller (1988). This study uses VAR to decompose unexpected return into cash flow and discount rate news. I actually read the article several times and was lucky enough to find the data, but I wasn't successful to replicate the study in Eviews. I can do the VAR, but I have no clue how it is then used for decomposition.
I really appreciate your kind assistance in this issue. Feel free to ask for further info. Tq