橫截面收益方差和收益溢價

作者：Paulo Maio

摘要：在本文中，我檢驗了橫截面股票收益率的方差（RD）能否提供未來股票收益率的有用信息。結果表明，在多個預測時長下，RD均能一緻地預測市場超額收益率的下降；并且相比于其他文獻中的預測指标，RD的預測效果更好。RD在樣本外的預測表現往往好于其他指标，而且基于RD指标構造的市場擇時策略表明該指标能獲得顯著的經濟收益。相較于小市值和價值型股票，RD對于那些大市值和成長型股票具有更強的預測能力。最後，我對RD與股票超額收益率之間的負相關關系進行了理論機制上的探讨。

關鍵詞：資産定價，股票收益方差，橫截面收益方差，預測性，樣本外預測性

Cross-sectional return dispersion and the equity premium

Paulo Maio

Abstract: In this paper, I examine whether stock return dispersion (RD) provides useful information about future stock returns. RD consistently forecasts a decline in the excess market return at multiple horizons, and compares favorably with alternative predictors used in the literature. The out-of-sample performance of RD tends to beat the alternative predictors, and is economically significant as indicated by the certainty equivalent gain associated with a trading investment strategy. RD has greater forecasting power for big and growth stocks compared to small and value stocks, respectively. I discuss a theoretical mechanism giving rise to the negative correlation between RD and the equity premium.

Keywords: Asset pricing; Stock return dispersion; Cross-sectional variance of stock returns; Predictability of stock returns; Out-of-sample predictability

原文鍊接：http://www.sciencedirect.com/science/article/pii/S1386418115000609

翻譯：柳依依