The Economic Value of Predicting Stock Index Returns and Volatility
The Economic Value of Predicting Stock Index Returns and Volatility
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DOI：
10.1017/s0022109000003136
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发表时间：
2001-12
影响因子：
3.9
通讯作者：
W. Marquering;Marno Verbeek
中科院分区：
文献类型：
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作者：
W. Marquering;Marno Verbeek
摘要本文分析了预测股票指数收益率和波动率的经济价值。在简单的线性模型的基础上，递归估计，我们产生的标准普尔500指数的回报率和波动性的样本外预测。使用月度数据，我们研究了1970-2001年期间一些替代交易策略的经济价值。在波动性高的时候，预测回报似乎更容易。对于均值-方差投资者来说，这种可预测性在经济上是有利可图的，即使卖空是不允许的，交易成本也相当大。在回报率和波动性中采用市场时机的交易策略的经济价值超过了只采用回报时机的策略。然而，动态策略的大部分盈利能力都位于我们样本期的前半部分。
Abstract In this paper, we analyze the economic value of predicting stock index returns as well as volatility. On the basis of simple linear models, estimated recursively, we produce out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data, we examine the economic value of a number of alternative trading strategies over the period 1970–2001. It appears easier to forecast returns at times when volatility is high. For a mean-variance investor, this predictability is economically profitable, even if short sales are not allowed and transaction costs are quite large. The economic value of trading strategies that employ market timing in returns and volatility exceeds that of strategies that only employ timing in returns. Most of the profitability of the dynamic strategies, however, is located in the first half of our sample period.