月度市场回报可预测吗?

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2021-04-10 eCollection Date: 2021-12-01 DOI:10.1093/rapstu/raab010

Jussi Keppo, Tyler Shumway, Daniel Weagley

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引用次数: 0

摘要

我们记录了活跃的个人投资者在市场择时表现上的显著持久性，这表明一些投资者在择时方面很熟练。使用近15年来活跃的芬兰个人投资者的所有交易数据，我们还表明，熟练投资者与非熟练投资者的净购买量预测了每月的市场回报。我们的研究结果为市场回报是可预测的观点提供了可信度，而不必指定积极投资者使用哪些变量来成功地确定市场时间。(凝胶g10, g11, g12, g14, g15)。

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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Are Monthly Market Returns Predictable?

We document significant persistence in the market timing performance of active individual investors, suggesting that some investors are skilled at timing. Using data on all trades by active Finnish individual investors over almost 15 years, we also show that the net purchases of skilled versus unskilled investors predict monthly market returns. Our results lend credibility to the view that market returns are predictable, without having to specify which variables active investors use to successfully time the market. (JEL G10, G11, G12, G14, G15).

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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.