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Does high-frequency consumption data predict equity risk premiums?

delete2026-07-06
delete0
PRE
AI
Y
Yutaka Miyashita
R
Ryuta Sakemoto *
Y
Yuhki Yamamoto
DOI：10.1016/j.frl.2026.110455delete
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摘要

摘要

En 中文
• 本研究采用来自日本的 Novel 消费数据集，调查消费波动是否与未来股权风险溢价相关。 • 我们发现，负消费增长率与日本市场指数的较高股权风险溢价相关。 • 我们的市场时机策略每年将夏普比率提高 0.27。 • 我们消费数据的可预测性与日本的贸易政策不确定性相关。

期刊

Finance Research Letters 封面图
Finance Research Letters
IF:
6.9
论文数:
9.2K
被引数:
2.8W

机构

A
aiq inc.
学者数:
2
论文数: 1
被引数: 0
H
hokkaido university
学者数:
5.3K
论文数: 1.9K
被引数: 0
I
intage inc.
学者数:
2
论文数: 1
被引数: 0
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