Journal of Banking & Finance · Vol.79· JUNE 2017

石油期货价格可以预测股票收益吗？

作者：I-Hsuan Ethan Chiang (Belk College of Business, University of North Carolina at Charlotte, USA), W. Keener Hughen (John F. Welch College of Business, Sacred Heart University, USA)

摘要：本文通过研究石油期货价格的横截面来探讨股票收益的可预测性。受主成分分析的驱动，我们发现石油期货曲线的曲率因子预测了每月的股票收益：曲率因子每月增加的1%预测了股票市场指数收益率每月0.4%的下降。这种预测模式在非石油行业的投资组合中普遍存在，但在与石油相关的投资组合中消失。对非石油股票发生作用的曲率因子在样本内外的预测能力均是稳健的，并且优于许多其他的预测因子，包括石油现货价格因子。曲率因子的预测能力来自于其对供给方的石油冲击进行预测的能力，这种冲击仅影响非石油股票并由与石油相关的股票进行对冲。

关键词：石油，期货，可预测性，曲率，供给冲击，期货曲线

Do oil futures prices predict stock returns?

I-Hsuan Ethan Chiang (Belk College of Business, University of North Carolina at Charlotte, USA), W. Keener Hughen (John F. Welch College of Business, Sacred Heart University, USA)

ABSTRACT

This paper explores stock return predictability by exploiting the cross-section of oil futures prices. Motivated by the principal component analysis, we find the curvature factor of the oil futures curve predicts monthly stock returns: a 1% per month increase in the curvature factor predicts 0.4% per month decrease in stock market index return. This predictive pattern is prevailing in non-oil industry portfolios, but is absent for oil-related portfolios. The in- and out-of-sample predictive power of the curvature factor for non-oil stocks is robust and outperforms many other predictors, including oil spot prices. The predictive power of the curvature factor comes from its ability to forecast supply-side oil shocks, which only affect non-oil stocks and are hedged by oil-related stocks.

Keywords: Oil, Futures, Predictability, Curvature, Supply shocks, Futures curve

原文链接：http://www.sciencedirect.com/science/article/pii/S0378426617300468

翻译：贾梦悦