.png){kind=icon}
返回
Do return prediction models add economic value?
.png){kind=icon}
PRE
AI
DOI：10.1016/j.jbankfin.2012.06.008.png)
.png){kind=icon}
原文求助.png){kind=icon}
分享.png){kind=icon}
收藏
摘要
En 中文
We compare statistical and economic measures of forecasting performance across a large set of stock return prediction models with time-varying mean and volatility. We find that it is very common for models to produce higher out-of-sample mean squared forecast errors than a model assuming a constant equity premium, yet simultaneously add economic value when their forecasts are used to guide portfolio decisions. While there is generally a positive correlation between a return prediction model's out-of-sample statistical performance and its ability to add economic value, the relation tends to be weak and only explains a small part of the cross-sectional variation in different models' economic value. (C) 2012 Elsevier B.V. All rights reserved.
Keyword:
Predictability of stock returns
Mean squared forecast error
Economic and statistical measures of forecasting performance
期刊
J
IF:
3.8
论文数:
6.4K
被引数:
2.4W
机构
引用论文
.png){kind=icon}
查看更多内容