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Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility
Journal of Forecasting ( IF 2.627 ) Pub Date : 2020-12-13 , DOI: 10.1002/for.2754
Feng He 1 , Libo Yin 2
Affiliation  

This paper shows that shocks to the equity capital ratio of financial intermediaries (CRFI) have predictive ability for stock realized volatility, from both in-sample and out-of-sample perspectives. The revealed predictability is also of economic significance, in that it examines the performance of portfolios constructed on the basis of CRFI forecasts of stock volatility. Robustness test results suggest that CRFI provides different information from traditional macro variables. Further analysis shows that simple linear regression is good enough in capturing predictive relationships between CRFI and stock volatility.

中文翻译:

对金融中介机构股本比率的冲击及股票收益波动的可预测性

本文表明,从样本内和样本外的角度来看,金融中介机构股本比率 (CRFI) 的冲击对股票已实现波动率具有预测能力。揭示的可预测性也具有经济意义,因为它检查了基于股票波动的 CRFI 预测构建的投资组合的表现。稳健性测试结果表明,CRFI 提供与传统宏变量不同的信息。进一步的分析表明,简单的线性回归在捕捉 CRFI 和股票波动率之间的预测关系方面已经足够好了。
更新日期:2020-12-13
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