用组合预测预测股票溢价：重新评估

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2024-04-09 DOI:10.1093/rapstu/raae009

Sebastian Denk, Gunter Löffler

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引用次数: 0

摘要

本文重新评估了结合单项预测来预测美国股票溢价的实用性。为了进行比较，我们还考虑了惩罚回归和降维方法。无论使用哪种预测方法，我们都未能发现近几十年来预测能力的证据。进一步的分析表明，单个预测误差相关性的增加是组合预测性能下降的一个重要因素。(JEL C53, G12, G17)

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Predicting the Equity Premium with Combination Forecasts: A Reappraisal

This paper reappraises the usefulness of combining individual forecasts for predicting the U.S. equity premium. For comparison, we also consider penalized regression and dimension reduction approaches. We fail to find evidence of predictive ability in recent decades, regardless of the forecasting method used. Further analysis shows that an increase in the correlation of individual forecast errors is an important factor in the declining performance of combination forecasts. (JEL C53, G12, G17)

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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.