| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP9377 |
| DP9377 Forecasting Stock Returns under Economic Constraints | |
| Henry Allan Timmermann; Davide Pettenuzzo | |
| 发表日期 | 2013-03-10 |
| 出版年 | 2013 |
| 语种 | 英语 |
| 摘要 | We propose a new approach to imposing economic constraints on time-series forecasts of the equity premium. Economic constraints are used to modify the posterior distribution of the parameters of the predictive return regression in a way that better allows the model to learn from the data. We consider two types of constraints: Non-negative equity premia and bounds on the conditional Sharpe ratio, the latter of which incorporates timevarying volatility in the predictive regression framework. Empirically, we find that economic constraints systematically reduce uncertainty about model parameters, reduce the risk of selecting a poor forecasting model, and improve both statistical and economic measures of out-of-sample forecast performance. The Sharpe ratio constraint, in particular, results in considerable economic gains. |
| 主题 | Financial Economics |
| 关键词 | Bayesian analysis Economic constraints Sharpe ratio Stock return predictability |
| URL | https://cepr.org/publications/dp9377 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/538213 |
| 推荐引用方式 GB/T 7714 | Henry Allan Timmermann,Davide Pettenuzzo. DP9377 Forecasting Stock Returns under Economic Constraints. 2013. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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