Equity Return Predictability with the ICAPM

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2024-03-14 DOI:10.1093/rapstu/raae007

Michael Hasler, Charles Martineau

引用次数: 0

Abstract

This paper highlights a positive and significant beta-return relationship in high expected market return states, as suggested by the ICAPM. The ICAPM has strong out-of-sample predictive power for equity returns. As a result, timing strategies exploiting this predictive power have Sharpe ratios about double those of the buy-and-hold strategies, alphas of about 5% per annum, and average returns increasing sharply with unconditional betas. Our findings relate to the positive beta-return relation uncovered overnight, on macroeconomic announcement days, and in low inflation times because these periods share an important common feature: high market returns. (JEL D53, G11, G12)

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利用 ICAPM 预测股票回报率

本文强调了在高预期市场回报率状态下，β-回报率之间的正向显著关系，正如 ICAPM 所指出的那样。ICAPM 对股票回报具有很强的样本外预测能力。因此，利用这种预测能力的择时策略的夏普比率约为买入并持有策略的两倍，年收益率约为 5%，平均收益率随无条件贝塔的增加而急剧上升。我们的研究结果与隔夜、宏观经济公告日和低通胀时期揭示的正贝塔收益关系有关，因为这些时期有一个重要的共同特征：高市场收益。(JEL D53, G11, G12)

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.