Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

• 成果类型: Article
• 署名作者: Colacito, Riccardo; Ghysels, Eric; Meng, Jinghan; Siwasarit, Wasin
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; University of North Carolina; University of North Carolina Chapel Hill; University of Hong Kong; Thammasat University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhw009
• 发表日期: 2016
• 页码: 2069
• 关键词: long-run; conditional skewness; asset returns; stock returns; RISK; bootstrap; consumption; substitution; explanation; preference

摘要

We document that the first and third cross-sectional moments of the distribution of GDP growth rates made by professional forecasters can predict equity excess returns, a finding that is robust to controlling for a large set of well-established predictive factors. We show that introducing time-varying skewness in the distribution of expected growth prospects in an otherwise standard endowment economy can substantially increase the model-implied equity Sharpe ratios, and produce a large amount of fluctuation in equity risk premiums.