预测不同时间范围内的规模溢价

ERN: Portfolio Optimization (Topic) Pub Date : 2011-10-31 DOI:10.2139/ssrn.1951931

Valeriy Zakamulin

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引用次数: 18

摘要

在本文中，我们提供的证据表明，通过使用一组滞后的宏观经济变量，小股票溢价是可预测的样本内和样本外。我们发现，在一个月到一年的时间范围内预测规模溢价是可能的。我们证明了规模溢价的可预测性允许投资组合经理产生经济上和统计上显著的活跃alpha。

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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Forecasting the Size Premium Over Different Time Horizons

In this paper, we provide evidence that the small stock premium is predictable both in-sample and out-of-sample through the use of a set of lagged macroeconomic variables. We find that it is possible to forecast the size premium over time horizons that range from one month to one year. We demonstrate that the predictability of the size premium allows a portfolio manager to generate an economically and statistically significant active alpha.

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ERN: Portfolio Optimization (Topic)

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