We propose a measurement of aggressive stock-selection opportunity based on positive alphas and idiosyncratic volatilities of cross-section stocks, and examine the role of aggressive stock-selection opportunity in predicting stock market returns. For the US stock market, we find that the change of aggressive stock-selection opportunity has a significant and negative coefficient for predicting future one-month market returns. The out-of-sample results also show the change of aggressive stock-selection opportunity improves the return forecasting performance and increases investors’ economic values. In particular, the predictive information of the change of aggressive stock-selection opportunity is independent of traditional macroeconomic predictors. The economic channel evidence shows that the change of aggressive stock-selection opportunity increases future market volatility and then results in lower market returns.

我们提出了一种基于正阿尔法和横截面股票的特殊波动率的激进选股机会的衡量方法，并研究了激进选股机会在预测股票市场回报中的作用。对于美国股市，我们发现激进选股机会的变化对于预测未来 1 个月的市场收益具有显着的负系数。样本外结果还表明，激进选股机会的变化提高了收益预测性能，增加了投资者的经济价值。特别是，激进选股机会变化的预测信息独立于传统的宏观经济预测指标。