The Journal of Financial Economics Volume 121, Issue 1, July 2016, Pages 46–65

短期利率和股票总收益

作者：David E.Rapach , Matthew C. Ringgenberg , Guofu Zhou

摘要：本文研究发现短期利率对于股票总收益率具有较强的预测力。同时相较于大多数较为流行的预测因子，短期利率无论是在样本内还是样本外，其检验结果表现都较优，R2统计量分别为12.89%和13.24%。除此之外，对于以均值方差投资策略进行投资的投资者来说，短期利率每年还会产生超过300个基点的效用增加。通过对向量自回归的结果分解后发现，短期利率的预知能力主要来自于现金流。总体而言，我们的证据表明卖空者是知情交易者，他们往往能够预测到未来总的现金流以及相关的市场收益。

关键词：股权风险溢价，回归预测，短期利率，现金流渠道，知情交易者

Short interest and aggregate stock returns

David E. Rapach, Matthew C. Ringgenberg, Guofu Zhou

ABSTRACT

We show that short interest is arguably the strongest known predictor of aggregate stock returns. It outperforms a host of popular return predictors both in and out of sample, with annual R2 statistics of 12.89% and 13.24%, respectively. In addition, short interest can generate utility gains of over 300 basis points per annum for a mean-variance investor. A vector auto regression decomposition shows that the economic source of short interest’s predictive power stems predominantly from a cash flow channel. Overall, our evidence indicates that short sellers are informed traders who are able to anticipate future aggregate cash flows and associated market returns.

Keywords: Equity risk premium, Predictive regression, Short interest, Cash flow channel, Informed traders

原文链接：

http://www.sciencedirect.com/science/article/pii/S0304405X16300320

翻译：秦秀婷