单个股票的回报是可预测的吗？

IF 2 4区管理学 Q3 BUSINESS

Australian Journal of Management Pub Date : 2021-04-07 DOI:10.1177/03128962211001509

Hui Zeng, Ben R. Marshall, N. Nguyen, Nuttawat Visaltanachoti

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引用次数: 0

摘要

我们表明，先前记录的宏观经济和技术变量对市场回报的可预测性在个股回报中也很明显。技术变量对套利限制高的公司(小的、非流动性的、不稳定的公司)产生更好的可预测性，而宏观经济变量更好地预测套利限制低的公司。技术预测指标对整个商业周期中套利上限较高的公司具有更强的预测能力，而宏观经济变量对经济衰退期间套利上限较低的公司具有更强的预测能力。JEL分类:C58、E32、G11、G12、G17

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Are individual stock returns predictable?

We show that the previously documented predictability of macroeconomic and technical variables for market returns is also evident in individual stock returns. Technical variables generate better predictability on firms with high limits to arbitrage (small, illiquid, volatile firms), while macroeconomic variables better predict firms with low limits to arbitrage. Technical predictors show a stronger predictive power for high limits to arbitrage firms across the business cycle, whereas macroeconomic variables capture more predictive information for firms with low limits to arbitrage during recessions. JEL Classification: C58, E32, G11, G12, G17

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来源期刊

Australian Journal of Management Multiple-

CiteScore

10.60

自引率

4.20%

发文量

期刊介绍： The objectives of the Australian Journal of Management are to encourage and publish research in the field of management. The terms management and research are both broadly defined. The former includes the management of firms, groups, industries, regulatory bodies, government, and other institutions. The latter encompasses both discipline- and problem-based research. Consistent with the policy, the Australian Journal of Management publishes research in accounting, applied economics, finance, industrial relations, political science, psychology, statistics, and other disciplines, provided the application is to management, as well as research in areas such as marketing, corporate strategy, operations management, organisation development, decision analysis, and other problem-focuses paradigms.