经济不确定性和时变回报可预测性

IF 7.4 2区经济学 Q1 BUSINESS, FINANCE

Finance Research Letters Pub Date : 2024-08-28 DOI:10.1016/j.frl.2024.106025

{"title":"经济不确定性和时变回报可预测性","authors":"","doi":"10.1016/j.frl.2024.106025","DOIUrl":null,"url":null,"abstract":"<div><p>We propose a predictive regression for stock returns in which the parameter variation is driven by economic uncertainty. A locally weighted least squares approach is developed to obtain parameter estimates which are used to generate forecasts of returns for the S&P 500 index. Our results indicate that the time-varying parameter model accounting for the role of economic uncertainty (TVP-EU) significantly improves upon the standard ordinary least squares model and the historical average benchmark.</p></div>","PeriodicalId":12167,"journal":{"name":"Finance Research Letters","volume":null,"pages":null},"PeriodicalIF":7.4000,"publicationDate":"2024-08-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Economic uncertainty and time-varying return predictability\",\"authors\":\"\",\"doi\":\"10.1016/j.frl.2024.106025\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We propose a predictive regression for stock returns in which the parameter variation is driven by economic uncertainty. A locally weighted least squares approach is developed to obtain parameter estimates which are used to generate forecasts of returns for the S&P 500 index. Our results indicate that the time-varying parameter model accounting for the role of economic uncertainty (TVP-EU) significantly improves upon the standard ordinary least squares model and the historical average benchmark.</p></div>\",\"PeriodicalId\":12167,\"journal\":{\"name\":\"Finance Research Letters\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":7.4000,\"publicationDate\":\"2024-08-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Finance Research Letters\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1544612324010559\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Finance Research Letters","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1544612324010559","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}

引用次数: 0

摘要

我们提出了一种股票收益预测回归方法，其中的参数变化是由经济不确定性驱动的。我们开发了一种局部加权最小二乘法来获得参数估计值，并利用这些估计值生成 S&P 500 指数的收益预测。我们的结果表明，考虑经济不确定性作用的时变参数模型（TVP-EU）明显优于标准普通最小二乘法模型和历史平均基准。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

查看原文本刊更多论文

Economic uncertainty and time-varying return predictability

We propose a predictive regression for stock returns in which the parameter variation is driven by economic uncertainty. A locally weighted least squares approach is developed to obtain parameter estimates which are used to generate forecasts of returns for the S&P 500 index. Our results indicate that the time-varying parameter model accounting for the role of economic uncertainty (TVP-EU) significantly improves upon the standard ordinary least squares model and the historical average benchmark.

求助全文

通过发布文献求助，成功后即可免费获取论文全文。去求助

来源期刊

Finance Research Letters BUSINESS, FINANCE-

CiteScore

11.10

自引率

14.40%

发文量

863

期刊介绍： Finance Research Letters welcomes submissions across all areas of finance, aiming for rapid publication of significant new findings. The journal particularly encourages papers that provide insight into the replicability of established results, examine the cross-national applicability of previous findings, challenge existing methodologies, or demonstrate methodological contingencies. Papers are invited in the following areas: Actuarial studies Alternative investments Asset Pricing Bankruptcy and liquidation Banks and other Depository Institutions Behavioral and experimental finance Bibliometric and Scientometric studies of finance Capital budgeting and corporate investment Capital markets and accounting Capital structure and payout policy Commodities Contagion, crises and interdependence Corporate governance Credit and fixed income markets and instruments Derivatives Emerging markets Energy Finance and Energy Markets Financial Econometrics Financial History Financial intermediation and money markets Financial markets and marketplaces Financial Mathematics and Econophysics Financial Regulation and Law Forecasting Frontier market studies International Finance Market efficiency, event studies Mergers, acquisitions and the market for corporate control Micro Finance Institutions Microstructure Non-bank Financial Institutions Personal Finance Portfolio choice and investing Real estate finance and investing Risk SME, Family and Entrepreneurial Finance