Optimal asset allocation and nonlinear return predictability from the dividend-price ratio

IF 4.4 3区 管理学 Q1 OPERATIONS RESEARCH & MANAGEMENT SCIENCE
Fabrizio Ghezzi, Anindo Sarkar, Thomas Quistgaard Pedersen, Allan Timmermann
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引用次数: 0

Abstract

We study non-linear predictability of stock returns arising from the dividend-price ratio and its implications for asset allocation decisions. Using data from five countries — U.S., U.K., France, Germany and Japan — we find empirical evidence supporting non-linear and time-varying models for the equity risk premium. Building on this, we examine several model specifications that can account for non-linear return predictability, including Markov switching models, regression trees, random forests and neural networks. Although in-sample return regressions and portfolio allocation results support the use of non-linear predictability models, the out-of-sample evidence is notably weaker, highlighting the difficulty in exploiting non-linear predictability in real time.

最优资产配置与股利价格比的非线性收益可预测性
我们研究了由股息价格比引起的股票收益的非线性可预测性及其对资产配置决策的影响。利用来自美国、英国、法国、德国和日本五个国家的数据,我们发现实证证据支持股票风险溢价的非线性和时变模型。在此基础上,我们研究了几种可以解释非线性回归可预测性的模型规范,包括马尔可夫切换模型、回归树、随机森林和神经网络。尽管样本内收益回归和投资组合配置结果支持非线性可预测性模型的使用,但样本外证据明显较弱,突出了在实时中利用非线性可预测性的困难。
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来源期刊
Annals of Operations Research
Annals of Operations Research 管理科学-运筹学与管理科学
CiteScore
7.90
自引率
16.70%
发文量
596
审稿时长
8.4 months
期刊介绍: The Annals of Operations Research publishes peer-reviewed original articles dealing with key aspects of operations research, including theory, practice, and computation. The journal publishes full-length research articles, short notes, expositions and surveys, reports on computational studies, and case studies that present new and innovative practical applications. In addition to regular issues, the journal publishes periodic special volumes that focus on defined fields of operations research, ranging from the highly theoretical to the algorithmic and the applied. These volumes have one or more Guest Editors who are responsible for collecting the papers and overseeing the refereeing process.
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