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业绩费与资产收益可预测性的渐近推断AI 解读

In this article, we provide analytical, simulation, and empirical evidence on a test of equal economic value from competing predictive models of asset returns. We define economic value using the concept of a performance fee—the amount an investor would be willing to pay to have access to an alternative predictive model used to make investment decisions. We establish that this fee can be asymptotically normal under modest assumptions. Monte Carlo evidence shows that our test…

股票收益建模与预测：利用期货信息、区制转换和国际溢出AI 解读

Abstract This paper proposes a vector equilibrium correction model of stock returns that exploits the information in the futures market, while allowing for both regime‐switching behaviour and international spillovers across stock market indices. Using data for three major stock market indices since 1989, we find that: (i) in sample, our model outperforms several alternative models on the basis of standard statistical criteria; (ii) in out‐of‐sample forecasting, our model…