横截面收益方差和收益溢价

作者：Paulo Maio

摘要：在本文中，我检验了横截面股票收益率的方差（RD）能否提供未来股票收益率的有用信息。结果表明，在多个预测时长下，RD均能一致地预测市场超额收益率的下降；并且相比于其他文献中的预测指标，RD的预测效果更好。RD在样本外的预测表现往往好于其他指标，而且基于RD指标构造的市场择时策略表明该指标能获得显著的经济收益。相较于小市值和价值型股票，RD对于那些大市值和成长型股票具有更强的预测能力。最后，我对RD与股票超额收益率之间的负相关关系进行了理论机制上的探讨。

关键词：资产定价，股票收益方差，横截面收益方差，预测性，样本外预测性

Cross-sectional return dispersion and the equity premium

Paulo Maio

Abstract: In this paper, I examine whether stock return dispersion (RD) provides useful information about future stock returns. RD consistently forecasts a decline in the excess market return at multiple horizons, and compares favorably with alternative predictors used in the literature. The out-of-sample performance of RD tends to beat the alternative predictors, and is economically significant as indicated by the certainty equivalent gain associated with a trading investment strategy. RD has greater forecasting power for big and growth stocks compared to small and value stocks, respectively. I discuss a theoretical mechanism giving rise to the negative correlation between RD and the equity premium.

Keywords: Asset pricing; Stock return dispersion; Cross-sectional variance of stock returns; Predictability of stock returns; Out-of-sample predictability

原文链接：http://www.sciencedirect.com/science/article/pii/S1386418115000609

翻译：柳依依