一、主題：Chinese Stock Market Return Predictability: Adaptive Complete Subset Regressions

二、主講人：陳珂琪，bevictor伟德官网2012級金融學專業本科生，現已保送清華大學五道口bevictor伟德官网直博

三、時間： 2015年11月18日（周三）13:00-14:00

四、地點：bevictor伟德官网沙河校區丁香園1号樓301會議室

五、點評人：陳銳，bevictor伟德官网金融工程系講師

文章摘要：

We provide one of the first comprehensive studies on out-of-sample stock returns predictability in China. This paper proposes a new combination framework to explore theChinese stock market return predictability. While most well-known predictor variables andsimple combinations fail to beat the historical average benchmark, our trimmed subset regressions delivers statistically and economically significant out-of-sample performance. Thesubset where each regression includes four predictors produces significant R2OS statistic of5.14% for 2006:01-2014:09. A mean-variance investor who uses the trimmed subset regressions forecasts instead of the historical average forecasts can obtain sizable utility gains of 5.24% per annum. The results are robust in sub-samples.