Daily tug of war;
Volatility of daily tug-of-war intensity;
Return forecasting;
EQUITY PREMIUM;
COMBINATION FORECASTS;
RISK;
PREDICTABILITY;
SAMPLE;
D O I:
10.1016/j.frl.2023.103867
中图分类号:
F8 [财政、金融];
学科分类号:
0202 ;
摘要:
We examine the predictive role of the volatility of daily tug-of-war intensity (VDTWI) in stock market returns. Based on the empirical evidence in China, we show that VDTWI significantly and positively impacts stock market returns. Moreover, the out-of-sample forecasting of VDTWI also performs well. Results show that the model of VDTWI has an out-of-sample R-squared of 3.473% and great economic values, of which certainty equivalent return and Sharpe ratio gains are 8.683 and 0.630, respectively. Furthermore, combining the volatility of daily tug-of-war intensity and popular predictors can improve forecasting performance.
机构:
Univ Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USAUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
Akbas, Ferhat
Boehmer, Ekkehart
论文数: 0引用数: 0
h-index: 0
机构:
Singapore Management Univ, Lee Kong Chian Sch Business, 50 Stamford Rd, Singapore 178899, SingaporeUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
Boehmer, Ekkehart
Jiang, Chao
论文数: 0引用数: 0
h-index: 0
机构:
Univ South Carolina, Darla Moore Sch Business, 1014 Greene St, Columbia, SC 29208 USAUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
Jiang, Chao
Koch, Paul D.
论文数: 0引用数: 0
h-index: 0
机构:
Iowa State Univ, Ivy Coll Business, 2167 Union Dr, Ames, IA 50011 USAUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
机构:
Korea Adv Inst Sci & Technol, Grad Sch Finance, Sch Business, Seoul, South KoreaKorea Adv Inst Sci & Technol, Grad Sch Finance, Sch Business, Seoul, South Korea
Byun, Suk Joon
论文数: 引用数:
h-index:
机构:
Frijns, Bart
Roh, Tai-Yong
论文数: 0引用数: 0
h-index: 0
机构:
Auckland Univ Technol, Dept Finance, Private Bag 92006, Auckland 1142, New ZealandKorea Adv Inst Sci & Technol, Grad Sch Finance, Sch Business, Seoul, South Korea
机构:
Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA
NBER, Cambridge, MA 02138 USAHarvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA
Campbell, John Y.
Thompson, Samuel B.
论文数: 0引用数: 0
h-index: 0
机构:Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA
机构:
Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R ChinaSouthwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
Li, Yan
Liang, Chao
论文数: 0引用数: 0
h-index: 0
机构:
Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
111, 2nd Ring Rd, Chengdu, Peoples R ChinaSouthwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
Liang, Chao
Huynh, Toan Luu Duc
论文数: 0引用数: 0
h-index: 0
机构:
Univ Econ Ho Chi Minh City, UEH Univ, UEH Inst Innovat UII, 59C Nguyen Dinh Chieu St, Dist 3, Ho Chi Minh City 70000, VietnamSouthwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
机构:
Univ Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USAUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
Akbas, Ferhat
Boehmer, Ekkehart
论文数: 0引用数: 0
h-index: 0
机构:
Singapore Management Univ, Lee Kong Chian Sch Business, 50 Stamford Rd, Singapore 178899, SingaporeUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
Boehmer, Ekkehart
Jiang, Chao
论文数: 0引用数: 0
h-index: 0
机构:
Univ South Carolina, Darla Moore Sch Business, 1014 Greene St, Columbia, SC 29208 USAUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
Jiang, Chao
Koch, Paul D.
论文数: 0引用数: 0
h-index: 0
机构:
Iowa State Univ, Ivy Coll Business, 2167 Union Dr, Ames, IA 50011 USAUniv Illinois, Coll Business Adm, 601 S Morgan St, Chicago, IL 60607 USA
机构:
Korea Adv Inst Sci & Technol, Grad Sch Finance, Sch Business, Seoul, South KoreaKorea Adv Inst Sci & Technol, Grad Sch Finance, Sch Business, Seoul, South Korea
Byun, Suk Joon
论文数: 引用数:
h-index:
机构:
Frijns, Bart
Roh, Tai-Yong
论文数: 0引用数: 0
h-index: 0
机构:
Auckland Univ Technol, Dept Finance, Private Bag 92006, Auckland 1142, New ZealandKorea Adv Inst Sci & Technol, Grad Sch Finance, Sch Business, Seoul, South Korea
机构:
Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA
NBER, Cambridge, MA 02138 USAHarvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA
Campbell, John Y.
Thompson, Samuel B.
论文数: 0引用数: 0
h-index: 0
机构:Harvard Univ, Dept Econ, Littauer Ctr, Cambridge, MA 02138 USA
机构:
Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R ChinaSouthwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
Li, Yan
Liang, Chao
论文数: 0引用数: 0
h-index: 0
机构:
Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
111, 2nd Ring Rd, Chengdu, Peoples R ChinaSouthwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China
Liang, Chao
Huynh, Toan Luu Duc
论文数: 0引用数: 0
h-index: 0
机构:
Univ Econ Ho Chi Minh City, UEH Univ, UEH Inst Innovat UII, 59C Nguyen Dinh Chieu St, Dist 3, Ho Chi Minh City 70000, VietnamSouthwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China