The Journal of Portfolio Management Winter 2018, 44 (3) 10-24
超额股票回报可预测性中的制度变迁:一个样本外的投资组合分析
作者：Giulia Dal Pra（Bocconi University in Milan, Italy.）
Massimo Guidolin（Bocconi University and BAFFI-CAREFIN Centre in Milan, Italy.）
Manuela Pedio（Bocconi University and BAFFI-CAREFIN Centre in Milan, Italy.）
Fabiola Vasile（Euromobiliare SGR in Milan, Italy.）
摘要：作者基于线性和制度转换模型下财务比率对股票市场总回报的可预测性，分析了样本外的资产配置决策绩效。作者从统计学视角分析基于价值比率的模型是否可以预测超额股票回报率，并且采用了将预测转变为投资组合策略的经济方法。这些方法包括组合转换方法、均值-方差框架和长期动态模型。作者发现统计分析显示出的财务比率的较小预测力，与能将该种较小预测力转化为投资组合出色业绩的投资组合经济方法之间呈现分离的状态，特别是在交易成本和制度被考虑在内之前。然而，当制度被考虑时，可预测性只会给长期的、高度风险厌恶的投资者带来高回报。此外，不同的策略在各种预测指标上会表现出不同的绩效排名。
Regime Shifts in Excess Stock Return Predictability: An Out-of-Sample Portfolio Analysis
Giulia Dal Pra（Bocconi University in Milan, Italy.）；Massimo Guidolin（Bocconi University and BAFFI-CAREFIN Centre in Milan, Italy.）；Manuela Pedio（Bocconi University and BAFFI-CAREFIN Centre in Milan, Italy.）；Fabiola Vasile（Euromobiliare SGR in Milan, Italy.）
ABSTRACT
The authors analyze the out-of-sample performance of asset allocation decisions based on financial ratio predictability of aggregate stock market returns under linear and regime-switching models. The authors adopt both a statistical perspective to analyze whether models based on valuation ratios can forecast excess equity returns, and an economic approach that turns predictions into portfolio strategies. These consist of a portfolio switching approach, a mean-variance framework, and a long-run dynamic model. The authors find a disconnect between the statistical perspective, whereby the ratios yield a modest forecasting power, and a portfolio approach, by which a moderate predictability is often sufficient to yield significant portfolio outperformance, especially before transaction costs and when regimes are taken into account. However, also when regimes are considered, predictability gives high payoffs only to long horizon, highly risk-averse investors. Moreover, different strategies deliver different performance rankings across predictors.
原文链接：
http://jpm.iijournals.com/content/44/3/10
翻译：黄涛
