Stock Return Predictability and Asset Pricing Models

This article develops an asset allocation framework that incorporatesprior beliefs about the extent of stock return predictabilityexplained by asset pricing models. We find that when prior beliefsallow even minor deviations from pricing model implications,the resulting asset allocations depart considerably from andsubstantially outperform allocations dictated by either theunderlying models or the sample evidence on return predictability.Under a wide range of beliefs about model pricing abilities,asset allocations based on conditional models outperform theirunconditional counterparts that exclude return predictability.     

Stock Return Predictability: Is it There?

We examine the predictive power of the dividend yields for forecastingexcess returns, cash flows, and interest rates. Dividend yieldspredict excess returns only at short horizons together withthe short rate and do not have any long-horizon predictive power.At short horizons, the short rate strongly negatively predictsreturns. These results are robust in international data andare not due to lack of power. A present value model that matchesthe data shows that discount rate and short rate movements playa large role in explaining the variation in dividend yields.Finally, we find that earnings yields significantly predictfuture cash flows. (JEL C12, C51, C52, E49, F30, G12)     

作为货币政策调控目标的货币供应量和信贷规模

货币政策一般认为,作为金融数量指标的货币供应量在货币政策调控中占据着核心地位,而排斥另一重要金融数量指标——信贷规模的作用。本研究试图利用我国自1998年以来的经济金融数据,通过计量方法,比较货币供应量、信贷规模作为核心金融指标的适用性,发现:(1)信贷规模和货币供应量各自在不同意义上都是最稳定的,并且,各自与经济活动之间的关系一样规则而稳定,没有证据表明何者更具优势;(2)在同时引入货币供应量和信贷规模时,大大提高了对实体经济的解释能力;(3)货币供应量的变化依存于信贷规模的变化,表明信贷规模在我国经济金融中占据一定地位。这些结论对于理解我国货币政策传导机制是有意义的,表明政策调控时,应同时关注货币供应量和信贷规模这两个指标。     

Stock Return Predictability: A Bayesian Model Selection Perspective

Attempts to characterize stock return predictability have resultedin little consensus on the important conditioning variables,giving rise to model uncertainty and data snooping fears. Weintroduce a new methodology that explicitly incorporates modeluncertainty by comparing all possible models simultaneouslyand in which the priors are calibrated to reflect economicallymeaningful information. Our approach minimizes data snoopinggiven the information set and the priors. We compare the priorviews of a skeptic and a confident investor. The data implyposterior probabilities that are in general more supportiveof stock return predictability than the priors for both typesof investors.     

Monetary Policy, Term Structure and Asset Return: Comparing REIT, Housing and Stock

This paper confirms that a regime-switching model out-performs a linear VAR model in terms of understanding the system dynamics of asset returns. Impulse responses of REIT returns to either the federal funds rate or the interest rate spread are much larger initially but less persistent. Furthermore, the term structure acts as an amplifier of the impulse response for REIT return, a stabilizer for the housing counterpart under some regime, and, perhaps surprisingly, almost no role for the stock return. In contrast, GDP growth has very marginal effect in the impulse response for all assets.     

Investor Sentiment and Return Predictability of the Option to Stock Volume Ratio

We study the effect of investor sentiment on the relation between the option to stock volume ratio (O/S) and future stock returns. Relative option volume has return predictability under short sale constraints. For this reason, we expect and find a stronger O/S‐return relation during high sentiment periods than during low sentiment periods. We find that Baker and Wurgler's Investor Sentiment Index affects the O/S‐return relation after controlling for consumer sentiment indices and economic environment factors. While prior studies have used consumer sentiment indices as alternative measures of investor sentiment, our results suggest these effects are distinct.     

Time-Varying Variance Risk Premium and the Predictability of Chinese Stock Market Return

A number of studies have shown that the variance risk premium (VRP), defined as the difference between risk-neutral and physical expected variances, has strong predictive power for the excess stock market return, and this predictability peaks at 3- to 6-month prediction horizons. However, little research presents empirical evidences for Chinese stock market due to the absence of option market. Under general equilibrium asset pricing framework, this article estimates time-varying VRP using the Chinese stock market data. We find that the estimated VRP predicts the excess Chinese stock market return, and this forecasting power is stronger at 4- and 5-month horizons, which is consistent with the findings of existing literature.     

论我国股票市场与货币政策的相互影响

由于我国资本市场与货币市场的长期分割,使得股票市场作为货币政策传导机制的重要性未能得到应有的重视,这在一定程度上降低了货币政策的有效性。随着我国股市融资规模的不断扩大及个人投资在家庭收入中所占比重逐步提高,股票市场与货币政策执行的相互影响也逐渐明显,因此有必要对相关影响进行认真地研究,实现股票市场发展与货币政策执行的互动,进一步提高货币政策的有效性。     

中国货币政策与股票横截面收益研究

本文基于沪深股市1993～2008年剔除了金融类股的所有A股数据,研究了中国证券市场上货币政策与股票横截面收益之间的关系。本文发现,在货币紧缩情况下,股票的Beta值与股票收益是成正比例关系的,而在货币扩张情况下,这种正比关系的程度减小,股票的Beta越大,其收益反而减小;在货币紧缩情况下,股票的市值规模与股票收益是成反比例关系的,而在货币扩张情况下,这种反比关系的程度变大,股票的市值规模越小,其收益增加的程度更大;在货币紧缩情况下,股票的账面市值比与股票收益是成正比例关系的,而在货币扩张情况下,这种正比关系的程度变大,股票的账面市值比越大,其收益增加的程度也越大。     

货币政策工具调整对股票市场的影响分析

利率政策与存款准备金率调整是我国央行重要的货币政策工具。传统理论认为利率及存款准备金率的调整逆向影响股价,但自2004年以来,中国股市面临了历史上最大的牛熊市更迭,在这段期间内利率及存款准备金率的调整与股价的关系却与传统理论迥异,系统考察这一现象并分析其内在原因有助于加深我们对货币政策影响股票市场机理的认识。     

股票价格、货币政策和宏观经济波动

本文对包含股票价格在内的新凯恩斯模型的结构方程进行估计,分析了股票价格和货币政策与宏观经济波动之间的关系,认为股票价格与宏观经济波动密切相连,货币政策调整可以平滑经济波动。在此基础上,比较了不同的货币政策规则的宏观调控效果,得到的结论是,将股票价格波动纳入货币政策的调控范围会改善货币政策效果,有助于稳定宏观经济。     

股票价格波动对货币政策的挑战

本文分析了股票价格波动对中央银行货币政策最终目标、中间目标、工具、传导机制及外部环境的挑战,得出货币政策必须与时俱进,中央银行在制定货币政策时应关注股票价格波动的结论。     

Federal Reserve Monetary Policy and Industry Stock Returns

Recent studies identify stock return patterns associated with changes in Federal Reserve monetary policy. We find that these return patterns prevail across sixteen industry stock indices. However, significant cross-industry variation exists as the apparel industry exhibits mean annual returns that are 50% higher under an expansive Fed policy than under a restrictive policy, while the same return difference for the oil industry is only 20%. This cross-industry variation suggests that monetary conditions may be used by investors to estimate different expected returns across industries. Furthermore, the findings support the view that monetary considerations should be considered in ex ante asset pricing models such as the CAPM.     

Monetary Policy and the Cross-Section of Expected Stock Returns

Ample evidence shows that size and book-to-market equity explain significant cross-sectional variation in stock returns, whereas beta explains little or none of the variation. Recent studies also demonstrate that proxies for monetary stringency increase the explained variation in stock returns. We reexamine a three-factor model that includes beta, size, and book-to-market equity, while allowing monetary conditions to influence the relations between these risk factors and average stock returns. We find that ex-ante proxies for monetary stringency significantly influence the relations between stock returns and all three risk factors. Additionally, all three variables are found to contribute significantly to explaining cross-sectional returns in a three-factor model that includes the monetary sector.     

The Predictability of Short-Horizon Stock Returns

This examines the predictability of short-horizon stock returnsin the UK. We show that the subsequent return reversal of previousextreme performers is unlikely to be caused by either lead-lageffects or inventory imbalances, the most likely explanationbeing market overreaction. A market or trading based explanationis reinforced by the finding that these return reversals areasymmetric, being less significant after bad news. Further,we find that the lower transacting stocks exhibit the strongerreturn reversals, in direct contrast to both the existing USevidence and the implication that liquidity effects can explainthe return reversals. JEL Classification: G10, G11, G12     

中国的股票价格波动及货币政策反应

本文在阐述中国的股票价格波动情况及成因的基础上，分析中国股票价格的信息功能，并对中国的股票价格与各层次货币供应量进行协整和Granger因果检验。结果表明，从总体上看，中国的股票价格在1995年之后，具备一定的信息功能；股票价格与各层次货币供应量之间存在协整、因果关系。由此，货币当局应对股票价格波动做出反应。文章以前瞻性利率规则为基础，运用IS—PC—AP模型，采用GMM法估计出中国包含股票价格因素的货币政策反应函数。     

论我国股票市场与货币政策的关系

随着股票市场的发展以及它对实体经济的影响日益深刻，股票市场与货币政策的关系也日益紧密。股票市场的发展迫切要求货币政策关注股票价格的变动，而股票市场本身又积极地传导着货币政策。我们应改革货币政策运行体系和股票市场运行机制，以最终实现股票市场与货币政策的良性互动。     

我国货币政策与股票价格的即期双向作用

本文在VAR模型基础上放松Cholesky分解对研究变量单向即期作用的内含假定,引入货币政策在长期对实际股价不存在影响的长期约束,从而研究我国货币政策与股票价格的即期作用关系.研究发现,我国货币政策与股票价格在即期存在双向作用,但两者相互作用的显著性有所区别,股票价格冲击对货币政策的即期作用显著,而货币政策冲击对股票价格的即期作用非常有限;此外,市场利率不仅与实际股价指数双向即期作用显著,而且作用关系为稳定的反馈机制,明显优于各层次货币供应量和法定利率.     

REIT Short Sales and Return Predictability

We examine REIT short sale transactions and show REITs are shorted less frequently than non-REITs. Results also show short sellers are less able to predict negative future returns for REITs, relative to non-REITs, which is consistent with increased pricing efficiency for REITs and suggests REIT assets are more transparent. In a broader context, these results suggest differences in transparency across asset types influence the effectiveness of short selling. Results showing REIT short sellers are contrarian imply traders target REITs that are performing well instead of underperforming REITs, suggesting restrictions on REIT short sales should be re-evaluated.