Variance decomposition
| Total | Share(%) | |
|---|---|---|
| Var(Excess return) | 19.4187 | |
| Var(RP news) | 6.6101 | 34.04 |
| Var(RR news) | 0.2705 | 1.39 |
| Var(CF news) | 7.5716 | 38.99 |
| −2 Cov(CF,RP) | 4.6199 | 23.79 |
| −2 Cov(CF,RR) | 0.2974 | 1.53 |
| +2 Cov(RP,RR) | 0.0491 | 0.25 |
| Total | Share(%) | |
|---|---|---|
| Var(Excess return) | 19.4187 | |
| Var(RP news) | 6.6101 | 34.04 |
| Var(RR news) | 0.2705 | 1.39 |
| Var(CF news) | 7.5716 | 38.99 |
| −2 Cov(CF,RP) | 4.6199 | 23.79 |
| −2 Cov(CF,RR) | 0.2974 | 1.53 |
| +2 Cov(RP,RR) | 0.0491 | 0.25 |
Note(s): The table shows the variance decomposition of current unexpected excess equity returns (excess return) into the variance of revisions in risk premium news (RP news), real interest rate news (RR news), cash-flow news (CF news) and the covariances between them
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