Predictive regressions with time-varying coefficients

• 成果类型: Article
• 署名作者: Dangl, Thomas; Hailing, Michael
• 署名单位: Utah System of Higher Education; University of Utah; Technische Universitat Wien
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2012.04.003
• 发表日期: 2012
• 页码: 157-181
• 关键词: Empirical asset pricing; Equity return prediction; Bayesian econometrics

摘要

We evaluate predictive regressions that explicitly consider the time-variation of coefficients in a comprehensive Bayesian framework. For monthly returns of the S&P 500 index, we demonstrate statistical as well as economic evidence of out-of-sample predictability: relative to an investor using the historic mean, an investor using our methodology could have earned consistently positive utility gains (between 1.8% and 5.8% per year over different time periods). We also find that predictive models with constant coefficients are dominated by models with time-varying coefficients. Finally, we show a strong link between out-of-sample predictability and the business cycle. (c) 2012 Elsevier B.V. All rights reserved.