-分散和市场时机

Laura-Chloé Kuntz
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引用次数: 1

摘要

本文研究了贝塔的分散性,即贝塔在市场上的扩散,以及它作为市场回报预测指标的应用。贝塔离散度可以被解释为市场崩溃风险的衡量指标,因此可以作为接下来市场低迷的预测指标。基于贝塔离散度,开发了预测未来市场回报的指标。这些离散度指标对未来市场走势具有实质性的预测能力,甚至在控制了其他众所周知的市场回报预测因子之后,也能预测出样本外的市场走势。此外,我表明贝塔分散的信息内容可以成功地利用市场择时策略。提出了一种基于择时指标的市场择时策略设计的创新思路。这种新方法以当前观察到的指标为基础,对市场投资组合进行加权。与市场上的买入并持有投资和常见的60/40投资组合分割相比,市场择时策略能够显著提高风险回报特征,特别是通过降低回报波动性。
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Beta Dispersion and Market-Timing
This paper examines the dispersion of betas, which is the spread of betas on a market, and its application as market return predictor. The beta dispersion can be interpreted as a measure of risk for market crashes and therefore function as a predictor of the following market downturns. Based on the beta dispersion, indicators are developed to predict the future market return. These dispersion measures have substantial predictive power for future market movements, even out-of-sample and after controlling for other well-known predictors of the market return. Moreover, I show that the informational content of the beta dispersion can be successfully exploited by market-timing strategies. An innovative idea of designing market-timing strategies based on timing indicators is introduced. This new approach invests in the market portfolio with a weighted position conditioning on the currently observed indicator. The market-timing strategies are able to considerably enhance the riskreturn characteristics compared to a buy-and-hold investment in the market and a common 60/40 portfolio split, especially by reducing the return volatility.
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