Journal of Banking & Finance Volume 58, September 2015, Pages 506–531

印度的股票收益率可以預測嗎？

作者：Paresh Kumar Narayan , Deepa Bannigidadmath

摘要：在這篇論文中，我們展示了在印度股票市場，基于産業分類、基于賬面市值比分類以及基于規模分類的股票組合的收益率是可預測的。我們發現這種可預測性在樣本期間内檢測和樣本期間外檢測都是有效的，但是這種可預測性卻不是同質的。比如，有些預測因子更加重要一些；某些行業和某些股票組合的可預測性更強，因此超額收益率也更高。我們同時發現，等權重組合預測法能夠帶來顯著的樣本期間外的超額收益率。我們的結果能夠滿足一系列的穩健性檢驗。

關鍵詞：股票收益率；可預測性；收益率；部門；理性資産定價；印度

Are Indian stock returns predictable?

Paresh Kumar Narayan , Deepa Bannigidadmath

Abstract:

In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous. Some predictors are important than others and some industries and portfolios of stocks are more predictable and, therefore, more profitable than others. We also discover that a mean combination forecast approach delivers significant out-of-sample performance. Our results survive a battery of robustness tests.

Keywords: Stock returns; Predictability; Profits; Sectors; Rational asset pricing; India

原文鍊接：http://www.sciencedirect.com/science/article/pii/S0378426615001156

翻譯：郎彪