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Forecasting Stock Returns with Model Uncertainty and Parameter Instability 具有模型不确定性和参数不稳定性的股票收益预测
Asian Finance Association (AsianFA) 2018 Conference (Archive) Pub Date : 2019-09-16 DOI: 10.2139/ssrn.3039844
Hongwei Zhang, Q. He, B. Jacobsen, Fuwei Jiang
{"title":"Forecasting Stock Returns with Model Uncertainty and Parameter Instability","authors":"Hongwei Zhang, Q. He, B. Jacobsen, Fuwei Jiang","doi":"10.2139/ssrn.3039844","DOIUrl":"https://doi.org/10.2139/ssrn.3039844","url":null,"abstract":"We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically once we combine them with the historical average and take parameter instability into account. An equal weighted combination of the historical average with the standard multivariate predictive regression estimated using the average windows method, for example, achieves a statistically significant monthly out‐of‐sample ROS2 of 1.10% and annual utility gains of 2.34%. We obtain similar gains for predicting future macroeconomic conditions.","PeriodicalId":101497,"journal":{"name":"Asian Finance Association (AsianFA) 2018 Conference (Archive)","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-09-16","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114215116","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 12
Private Company Valuations by Mutual Funds 共同基金对私人公司的估值
Asian Finance Association (AsianFA) 2018 Conference (Archive) Pub Date : 2019-08-22 DOI: 10.2139/ssrn.3066449
V. Agarwal, B. Barber, S. Cheng, A. Hameed, A. Yasuda
{"title":"Private Company Valuations by Mutual Funds","authors":"V. Agarwal, B. Barber, S. Cheng, A. Hameed, A. Yasuda","doi":"10.2139/ssrn.3066449","DOIUrl":"https://doi.org/10.2139/ssrn.3066449","url":null,"abstract":"\u0000 Mutual fund families set and report values of their private startup holdings, which affect the fund net asset value (NAV) at which investors buy/sell fund shares. We test three hypotheses related to the valuation practice: (i) information cost/access, (ii) litigation risk, and (iii) strategic NAV management. Consistent with (i), families with larger PE holdings and/or stronger information access update valuations more frequently in the absence of public information releases, their updates co-move less with other families, and their fund returns jump less at follow-on financings. We find no support for hypotheses (ii) or (iii). We also find that high-PE-exposure funds are subject to greater financial fragility.","PeriodicalId":101497,"journal":{"name":"Asian Finance Association (AsianFA) 2018 Conference (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2019-08-22","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"129250966","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 17
Illiquidity Shocks and Asymmetric Stock Market Reactions Around the World: Is Underreaction or Illiquidity Spiral the Culprit? 全球股市的非流动性冲击和不对称反应:是反应不足还是非流动性螺旋?
Asian Finance Association (AsianFA) 2018 Conference (Archive) Pub Date : 2018-10-20 DOI: 10.2139/ssrn.3056151
Te-Feng Chen, K. Wei
{"title":"Illiquidity Shocks and Asymmetric Stock Market Reactions Around the World: Is Underreaction or Illiquidity Spiral the Culprit?","authors":"Te-Feng Chen, K. Wei","doi":"10.2139/ssrn.3056151","DOIUrl":"https://doi.org/10.2139/ssrn.3056151","url":null,"abstract":"Illiquidity shocks are negatively associated with future returns. There are two potential explanations: underreaction and illiquidity spiral. We find that negative illiquidity shocks generate upward price continuation, but positive illiquidity shocks lead to initial downward price continuation quickly followed by price reversal. Further analysis shows that the underreaction channel works well only in stocks with negative illiquidity shocks, whereas the illiquidity spiral channel is strongly supported in stocks with positive illiquidity shocks. Moreover, our results are not subsumed by the numerator component (i.e., volatility shocks) or denominator component (i.e., volatility shocks) of the illiquidity shocks.","PeriodicalId":101497,"journal":{"name":"Asian Finance Association (AsianFA) 2018 Conference (Archive)","volume":"10 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2018-10-20","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"114023761","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 3
Information Overload and Cost of Equity Capital 信息超载与股权资本成本
Asian Finance Association (AsianFA) 2018 Conference (Archive) Pub Date : 2017-10-15 DOI: 10.2139/ssrn.2931362
Narjess Boubakri, Dev R. Mishra
{"title":"Information Overload and Cost of Equity Capital","authors":"Narjess Boubakri, Dev R. Mishra","doi":"10.2139/ssrn.2931362","DOIUrl":"https://doi.org/10.2139/ssrn.2931362","url":null,"abstract":"In recent years, corporate filings and their important sections have become thicker and longer. At the same time investors are swamped with information that is available through media, analysts and other sources creating information overload. Using several firm level proxies of information overload and several firm-level proxies of cost of equity capital, we examine in this paper whether information overload affects firms required rate of returns (i.e. financing costs). Based on a sample of 13418 firm-years during the 1993 to 2009 period, we find that information overload significantly and positively affects cost of equity capital. These results are robust to a series of validity checks.","PeriodicalId":101497,"journal":{"name":"Asian Finance Association (AsianFA) 2018 Conference (Archive)","volume":"281 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2017-10-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"122602262","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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