可预测性
溢出效应
经济
波动性(金融)
计量经济学
索引(排版)
库存(枪支)
金融经济学
现金流
资本化加权指数
股票市场指数
预测能力
货币经济学
资本资产定价模型
股票市场
财务
统计
宏观经济学
数学
机械工程
工程类
古生物学
哲学
马
认识论
生物
万维网
计算机科学
作者
Yaojie Zhang,Mengxi He,Danyan Wen
标识
DOI:10.1080/1351847x.2023.2271054
摘要
We propose an industry volatility spillover index and find that this new predictor has an impressive in-sample and out-of-sample predictability of aggregate stock returns. A one-standard-deviation increase in this index leads to a 4.14% increase in the expected excess return over the next month. Furthermore, a mean-variance investor can realize sizable economic gains by using this spillover index in his/her asset allocation. The forecasting power of the spillover index remains significant after controlling for popular economic variables and newly proposed predictors. Due to the absence of learning, the spillover index shows increasing predictive ability over the recent period. The economic origins of the spillover index’s success stem from both the cash flow and discount rate channels, as well as significant association with investor sentiment and tail risk. The return predictability of this index is pervasive across characteristic-sorted portfolios and is particularly strong for large-cap or difficult-to-value stocks.
科研通智能强力驱动
Strongly Powered by AbleSci AI