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Long-Term versus Short-Term Contingencies in Asset Allocation. (2012). Lucas, Andre ; Botshekan, Mahmoud .
In: Tinbergen Institute Discussion Papers.
RePEc:tin:wpaper:20120053.

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  26. Table 1: Descriptive statistics This table shows descriptive statistics of monthly returns on the CRSP stock index, a portfolio of 10-year government bonds, and the one month Treasury bill rate. The panel also includes descriptive statistics of six candidate state variables: the default spread (DS) defined as the difference between the Baa and Aaa yield, the log dividend-to-price ratio of the S&P index (DY) with dividends cumulated over the past 12 months, the term spread (TS) defined as the yield difference between 10-year and 1-year government bonds , the stock market trend (TR) defined as the difference of the log index level and its 12 month moving average, short rate (SR), and the (annual) dividend growth rate (DG). The data is sampled monthly from January 1954 to June 2011.
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  27. The sample covers April 1953 to June 2011.
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  28. These components are stored in the vector Zt and the process is repeated for all months from April 1964 till June 2011. The state variable are default spread (DS), log dividend-to-price ratio of the S&P index (DY), term spread (TS), stock market trend (TR), short rate (SR), dividend growth rate (DG). The cyclical (short-term) component is defined as the component with a cycle up to x months for x = 6, 12, 24, 36, 48, 72. The table contains the angle ϕ∗ = arctan(σS/σL) which is equivalent to the use of the undecomposed state variable. In this case, β′ Zt = cos(ϕ∗ )ZL it + sin(ϕ∗ )ZS it = Zit where ZL it is the standardized (by σL) long-term component of Zit, and ZS it is the standardized (by σS) short-term component.
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  29. TS TR 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −40 −30 −20 −10 0 10 20 TR SR 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 2.5 5.0 7.5 10.0 12.5 15.0 SR DG 1955 1960 1965 1970 1975 1980 1985 1990 1995 2000 2005 2010 −2 −1 0 1 2 DG Figure 1: State variables The panels contain the time-series plots for the different state variables: default spread (DS, upper-left), log dividend-to-price ratio (DY, upper-right), term spread (TS, mid-left), stock market trend (TR, mid-right), short rate (SR, lower-left), dividend growth rate (DG, lower-right).
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  30. U 0.0055 0.0066 0.0065 0.0065 0.0069 0.0056 Table 10: Out-of-sample performance of portfolio strategies using recursive Hodrick-Prescott filter The table presents out-of-sample performance of different portfolio strategies using recursive filtering. For the period April 1963 to June 2011, the Hodrick-Prescott filter are run recursively for every month in the sample and only the last decomposition of these filters is used in Zt. Then we divide this sample to two sub-samples.
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  31. Van Binsbergen, J. and R. Koijen (2010). Predictive regressions: A present-value approach. The Journal of Finance 65(4), 1439–1471.

  32. Wachter, J. and M. Warusawitharana (2009). Predictable returns and asset allocation: Should a skeptical investor time the market? Journal of Econometrics 148(2), 162–178.

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