题目：Penetrating Sporadic Return Predictability

报告人：涂云东 教授 （北京大学）

地点：腾讯会议室

时间：2022年10月13日 13:30-15:30

摘要：Return predictability has been one of the central research questions in finance for many decades. This paper proposes a predictive regression with multiple structural changes to capture the sporadic predictive ability of potential predictors for the return series. An adaptive group Lasso procedure, augmented with a forward regression for break screening, is adopted to efficiently and consistently identify the structural breaks in the predictive regression, with predictors exhibiting low signal strength and various degrees of persistence. To enhance the prediction accuracy, adaptive Lasso is further used to eliminate the irrelevant predictors and is shown to achieve the oracle property. Simulation studies demonstrate the effectiveness of the proposed methods in break detection and predictor selection, and further show that ignoring structural breaks could abate predictability. The application to predicting U.S. equity premium illustrates the practical merits of our methodology in revealing the return predictability that changes over time.

腾讯会议ID：669656551

密码：6431

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