Equity Return Prediction: Are Coefficients Time-Varying?

Thomas Dangl, M. Halling, Otto Randl
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引用次数: 5

Abstract

Most papers in equity return prediction rely on the assumption that coefficients in linear predictive models are constant over time. We question and relax this assumption and find strong empirical support for the validity of models allowing for time varying regression coefficients. Analyzing model uncertainty, we document that uncertainty about the level of time-variation in coefficients and uncertainty about the choice of predictive variables are equally important sources of predictive variance. Furthermore, we document out-of-sample predictability of the average and individual predictive models. Most importantly, only individual predictive models with time-varying coefficients show out-of-sample predictability across all periods of time.
股票收益预测:系数是时变的吗?
大多数关于股票收益预测的论文都依赖于线性预测模型的系数随时间不变的假设。我们质疑并放宽这一假设,并为允许时变回归系数的模型的有效性找到强有力的经验支持。通过分析模型的不确定性,我们发现系数时变水平的不确定性和预测变量选择的不确定性是预测方差的重要来源。此外,我们记录了平均和个体预测模型的样本外可预测性。最重要的是,只有具有时变系数的单个预测模型才能在所有时间段内显示出样本外的可预测性。
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