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.
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.