The Journal of Financial Economics Volume 121, Issue 1, July 2016, Pages 46–65

短期利率和股票總收益

作者：David E.Rapach , Matthew C. Ringgenberg , Guofu Zhou

摘要：本文研究發現短期利率對于股票總收益率具有較強的預測力。同時相較于大多數較為流行的預測因子，短期利率無論是在樣本内還是樣本外，其檢驗結果表現都較優，R2統計量分别為12.89%和13.24%。除此之外，對于以均值方差投資策略進行投資的投資者來說，短期利率每年還會産生超過300個基點的效用增加。通過對向量自回歸的結果分解後發現，短期利率的預知能力主要來自于現金流。總體而言，我們的證據表明賣空者是知情交易者，他們往往能夠預測到未來總的現金流以及相關的市場收益。

關鍵詞：股權風險溢價，回歸預測，短期利率，現金流渠道，知情交易者

Short interest and aggregate stock returns

David E. Rapach, Matthew C. Ringgenberg, Guofu Zhou

ABSTRACT

We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector auto regression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash flow channel. Overall, our evidence indicates that short sellers are informed traders who are able to anticipate future aggregate cash flows and associated market returns.

Keywords: Equity risk premium, Predictive regression, Short interest, Cash flow channel, Informed traders

原文鍊接：

http://www.sciencedirect.com/science/article/pii/S0304405X16300320

翻譯：秦秀婷