The Review of Financial Studies, Volume 31, Issue 5, 1 May 2018, Pages 1784–1824

回归可预测性的横截面和时间序列检验：有什么区别？

作者：Amit Goyal(University of Lausanne, University of Lausanne,), Narasimhan Jegadeesh (Emory University)

摘要： 我们比较了基于过去回报的时间序列（TS）和横截面（CS）策略的表现。CS策略是零净投资的多/空策略，而TS策略对风险资产进行时变净投资。对于个股来说，TS和CS策略表现的差异主要是由于这种时变的净投资。由于多种国际资产类别具有异质的收益分布，规模化的CS策略表现显著优于类似规模的TS战略。

Cross-Sectional and Time-Series Tests of Return Predictability: What Is the Difference?

Amit Goyal（University of Lausanne, University of Lausanne,）； Narasimhan Jegadeesh（Emory University）

ABSTRACT

We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net long investment in risky assets. For individual stocks, the difference between the performances of TS and CS strategies is largely due to this time-varying net long investment. With multiple international asset classes with heterogeneous return distributions, scaled CS strategies significantly outperform similarly scaled TS strategies.

原文链接：https://academic.oup.com/rfs/article-abstract/31/5/1784/4636242?redirectedFrom=fulltext

翻译：黄涛