Journal of Finance, Volume 72, Issue 6, December 2017

为何在糟糕的时期收益更可预测？

作者：Julien Cujean (University of Maryland),

Michael Hasler (University of Toronto)

摘要：我们建立了一个均衡模型来解释为何股票收益的可预测性多集中在糟糕的时期。发现关键在于投资者使用不同的预测模型从而造成对不确定性估计的差异。随着经济状况的恶化，不确定性上升，投资者的意见分化。因此，分歧在经济状况不佳的时候达到顶峰，导致了股票收益对过去的新闻报道作出反应。这种现象造成了分歧与未来收益之间的正向关系。这同时也产生了基于时间序列的动量，而这种动量效应在经济不景气的时候得到强化，在分歧的时候增加，而在大幅的市场反弹之后崩溃。本文为这些新的预测提供实证支持。

Why Does Return Predictability Concentrate in Bad Times?

Julien Cujean (University of Maryland), Michael Hasler (University of Toronto)

ABSTRACT

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is that investors use different forecasting models, and hence assess uncertainty differently. As economic conditions deteriorate, uncertainty rises and investors' opinions polarize. Disagreement thus spikes in bad times, causing returns to react to past news. This phenomenon creates a positive relation between disagreement and future returns. It also generates time-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide empirical support for these new predictions.

原文链接：

http://onlinelibrary.wiley.com/doi/10.1111/jofi.12544/full

翻译：秦秀婷