期刊
JOURNAL OF ECONOMETRICS
卷 208, 期 1, 页码 120-140出版社
ELSEVIER SCIENCE SA
DOI: 10.1016/j.jeconom.2018.09.008
关键词
Predictability; Frequency; Aggregation; Risk-return trade-off
We introduce a new stylized fact: the hump-shaped behavior of slopes and coefficients of determination as a function of the aggregation horizon when running (forward/backward) predictive regressions of future excess market returns onto past economic uncertainty (as proxied by market variance, consumption variance, or economic policy uncertainty). To justify this finding formally, we propose a novel modeling framework in which pre-dictability is specified as a property of components of both excess market returns and economic uncertainty. We dub this property scale-specific predictability. We show that classical predictive systems imply restricted forms of scale-specific predictability. We conclude that for certain predictors, like economic uncertainty, the restrictions imposed by classical predictive systems may be excessively strong. (C) 2018 Elsevier B.V. All rights reserved.
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