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Are individual stock returns predictable?
Australian Journal of Management ( IF 3.229 ) Pub Date : 2021-04-07 , DOI: 10.1177/03128962211001509
Hui Zeng , Ben R Marshall 1 , Nhut H Nguyen 2 , Nuttawat Visaltanachoti 3
Affiliation  

We show that the previously documented predictability of macroeconomic and technical variables for market returns is also evident in individual stock returns. Technical variables generate better predictability on firms with high limits to arbitrage (small, illiquid, volatile firms), while macroeconomic variables better predict firms with low limits to arbitrage. Technical predictors show a stronger predictive power for high limits to arbitrage firms across the business cycle, whereas macroeconomic variables capture more predictive information for firms with low limits to arbitrage during recessions.

JEL Classification: C58, E32, G11, G12, G17



中文翻译:

个人股票收益是可预测的吗?

我们表明,以前记录的宏观经济和技术变量对市场收益的可预测性在单个股票收益中也很明显。技术变量对具有较高套利限制的公司(小型,流动性低,波动性较大的公司)产生更好的可预测性,而宏观经济变量可以更好地预测具有较低套利限制的公司。技术预测指标显示出在整个经济周期中对套利交易上限具有较高限制的预测能力,而宏观经济变量则为在衰退期间对套利限制较低的公司提供了更多的预测信息。

JEL分类:C58,E32,G11,G12,G17

更新日期:2021-04-08
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