期刊
FINANCE RESEARCH LETTERS
卷 50, 期 -, 页码 -出版社
ACADEMIC PRESS INC ELSEVIER SCIENCE
DOI: 10.1016/j.frl.2022.103323
关键词
Stock -selection opportunity; Aggressive stock -selection opportunity; Stock market returns; Forecasting returns
资金
- University of Economics Ho Chi Minh City (Vietnam) [2022-09-11-1146]
This study proposes a method to measure the aggressive stock-selection opportunity and examines its role in predicting stock market returns. The results show that the change of aggressive stock-selection opportunity has a significant impact on future market returns, improving return forecasting performance and increasing investors' economic values.
We propose a measurement of aggressive stock-selection opportunity based on positive alphas and idiosyncratic volatilities of cross-section stocks, and examine the role of aggressive stock -selection opportunity in predicting stock market returns. For the US stock market, we find that the change of aggressive stock-selection opportunity has a significant and negative coefficient for predicting future one-month market returns. The out-of-sample results also show the change of aggressive stock-selection opportunity improves the return forecasting performance and increases investors' economic values. In particular, the predictive information of the change of aggressive stock-selection opportunity is independent of traditional macroeconomic predictors. The eco-nomic channel evidence shows that the change of aggressive stock-selection opportunity increases future market volatility and then results in lower market returns.
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