Predicting stock returns

• 成果类型: Article
• 署名作者: Avramov, Doron; Chordia, Tarun
• 署名单位: University System of Maryland; University of Maryland College Park; Emory University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.07.014
• 发表日期: 2006
• 页码: 387-415
• 关键词: Predictability; business cycle; Risk factors; equity characteristics; Estimation risk

摘要

This paper studies whether incorporating business cycle predictors benefits a real time optimizing investor who must allocate funds across 3,123 NYSE-AMEX stocks and cash. Realized returns are positive when adjusted by the Fama-French and momentum factors as well as by the size, book-to-market, and past return characteristics. The investor optimally holds small-cap, growth, and momentum stocks and loads less (more) heavily on momentum (small-cap) stocks during recessions. Returns on individual stocks are predictable out-of-sample due to alpha variation, whereas the equity premium predictability, the major focus of previous work, is questionable. (c) 2006 Elsevier B.V. All rights reserved.