Market Return Predictability using Industry Return Moments
In understanding risk-return relation and in predicting market return,we find the strong predictive power among the industry correlation and variance in explaining subsequent equity risk premium.This extents Pollet and Wilson(2010)in a equilibrium model.Theoretically,we show that the expected excess asset return can be linearly spanned on a set of industry return second moments.Empirically,by consider industry index as market excess return predictor,we confirm the positive mean variance relation and show strong both in-sample and out-of-sample forecasting power.In addition,the industry index conveys additional information after controlling for a broad set of economics predictors and delivers complementary information in detecting the recession periods.We refer this information as industry risk effect which is essentially explained by concentration risk,business cycle risk,volatility feedback effect and market efficiency.
Cheng Hao Fu Fangjiany Lim Kian Guanz
Singapore Management University
国内会议
上海
英文
270-321
2016-07-16（万方平台首次上网日期，不代表论文的发表时间）