Predicting stock returns: A regime-switching combination approach and economic links

doi:10.1016/j.jbankfin.2013.07.016

CORC > 上海财经大学 > 上海财经大学

	Predicting stock returns: A regime-switching combination approach and economic links
	Zhu, Xiaoneng 1; Zhu, Jie 2
刊名	JOURNAL OF BANKING & FINANCE
	2013-11
卷号	37 期号:11 页码:4120-4133
关键词	Stock returns Predictability Regime switching Uncertainty Time-varying predictability
ISSN号	0378-4266
DOI	10.1016/j.jbankfin.2013.07.016
英文摘要	This paper introduces a regime-switching combination approach to predict excess stock returns. The approach explicitly incorporates model uncertainty, regime uncertainty, and parameter uncertainty. The empirical findings reveal that the regime-switching combination forecasts of excess returns deliver consistent out-of-sample forecasting gains relative to the historical average and the Rapach et al. (2010) combination forecasts. The findings also reveal that two regimes are related to the business cycle. Based on the business cycle explanation of regimes, excess returns are found to be more predictable during economic contractions than during expansions. Finally, return forecasts are related to the real economy, thus providing insights on the economic sources of return predictability. (C) 2013 Elsevier B.V. All rights reserved.
WOS研究方向	Business & Economics
语种	英语
出版者	ELSEVIER SCIENCE BV
WOS记录号	WOS:000326212100009
内容类型	期刊论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/1910]
专题	上海财经大学
通讯作者	Zhu, Jie
作者单位	1.Cent Univ Finance & Econ, Chinese Acad Finance & Dev, Beijing 100081, Peoples R China; 2.Shanghai Univ Finance & Econ, Sch Finance, Shanghai Key Lab Financial Informat Technol, Shanghai Inst Int Finance Ctr, Shanghai 200433, Peoples R China
推荐引用方式 GB/T 7714	Zhu, Xiaoneng,Zhu, Jie. Predicting stock returns: A regime-switching combination approach and economic links[J]. JOURNAL OF BANKING & FINANCE,2013,37(11):4120-4133.
APA	Zhu, Xiaoneng,&Zhu, Jie.(2013).Predicting stock returns: A regime-switching combination approach and economic links.JOURNAL OF BANKING & FINANCE,37(11),4120-4133.
MLA	Zhu, Xiaoneng,et al."Predicting stock returns: A regime-switching combination approach and economic links".JOURNAL OF BANKING & FINANCE 37.11(2013):4120-4133.