当前位置: X-MOL 学术Rev. Financ. Stud. › 论文详情
Our official English website, www.x-mol.net, welcomes your feedback! (Note: you will need to create a separate account there.)
Break Risk
The Review of Financial Studies ( IF 8.414 ) Pub Date : 2020-08-14 , DOI: 10.1093/rfs/hhaa084
Smith S, Timmermann A, Van Nieuwerburgh S.

Abstract
We develop a new approach to modeling and predicting stock returns in the presence of breaks that simultaneously affect a large cross-section of stocks. Exploiting information in the cross-section enables us to detect breaks in return prediction models with little delay and to generate out-of-sample return forecasts that are significantly more accurate than those from existing approaches. To identify the economic sources of breaks, we explore the asset pricing restrictions implied by a present value model which links breaks in return predictability to breaks in the cash flow growth and discount rate processes.


中文翻译:

突破风险

摘要
我们开发了一种新的方法来建模和预测在出现中断的同时会影响较大横截面的股票收益的股票收益。利用横截面中的信息,我们可以几乎无延迟地检测出回报预测模型中的中断,并生成样本外回报预测,其准确性远高于现有方法。为了确定休息的经济来源,我们探索了现值模型所隐含的资产定价限制,该模型将收益可预测性的中断与现金流量增长和折现率过程的中断联系起来。
更新日期:2020-08-14
down
wechat
bug