期刊
ENERGY ECONOMICS
卷 94, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.eneco.2020.105069
关键词
Skewness; Equity premium predictability; Economic constraints; Asset allocation
类别
资金
- National Natural Science Foundation of China [71771030, 11301041, 71873146, 71873147]
- Scientific Research Fund of Hunan Provincial Education Department [19A007]
The skewness of oil price returns can predict the overall stock market returns, especially with a stronger predictive power during economic recessions, and this finding holds true even when considering different aversion coefficients and transaction costs.
We show that the three-order moment of oil price returns can predict the aggregate stock market returns. Empirical results indicate the stock market returns forecasts generated by the skewness of oil price returns are statistically and economically significant for out-of-sample performance. We add the skewness of oil price returns as an additional predictor into the univariate macro model, and obtain greater forecast gains. When using multivariate information method, this prediction improvement also exists. Strong evidence demonstrates that the forecasting power is higher in recession. In addition, our finding is robust when considering alternative aversion coefficient and transaction cost. (C) 2020 Elsevier B.V. All rights reserved.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据