Journal of Financial Markets·Volume 36·November 2017

股权溢价预测：经济和统计约束的作用

作者：Jiahan Li（University of Notre Dame）

Ilias Tsiakas（Department of Economics and Finance, University of Guelph）

摘要：在本文中，我们发现，当我们控制一系列经济基本面变量进行样本外预测回归时，股权溢价是可预测的，这取决于：（1）系数和收益预测的经济约束，和（2）收缩估计强加的统计限制。股票溢价的可预测性为均值-方差投资者提供了每年约2.7％的确定性等价收益率。 我们的预测框架胜过了一大批既要考虑经济基本面的竞争模型，也要考虑技术指标的模型。

关键词：股权溢价，样本外预测，经济基本面，技术指标，收缩估计量

Equity premium prediction: The role of economic and statistical constraints

Jiahan Li（University of Notre Dame）

Ilias Tsiakas（Department of Economics and Finance, University of Guelph）

ABSTRACT

In this paper, we show that the equity premium is predictable out-of-sample when we use a predictive regression that conditions on a large set of economic fundamentals, subject to: (1) economic constraints on the sign of coefficients and return forecasts, and (2) statistical constraints imposed by shrinkage estimation. Equity premium predictability delivers a certainty equivalent return of about 2.7% per year over the benchmark for a mean–variance investor. Our predictive framework outperforms a large group of competing models that also condition on economic fundamentals, as well as models that condition on technical indicators.

Keywords：Equity premium, Out-of-sample prediction, Economic fundamentals, Technical indicators, Shrinkage estimation

原文链接：http://www.sciencedirect.com/science/article/pii/S1386418116301124#!

翻译：何杉