Journal of Banking & Finance Volume 58, September 2015, Pages 506–531

印度的股票收益率可以预测吗？

作者：Paresh Kumar Narayan , Deepa Bannigidadmath

摘要：在这篇论文中，我们展示了在印度股票市场，基于产业分类、基于账面市值比分类以及基于规模分类的股票组合的收益率是可预测的。我们发现这种可预测性在样本期间内检测和样本期间外检测都是有效的，但是这种可预测性却不是同质的。比如，有些预测因子更加重要一些；某些行业和某些股票组合的可预测性更强，因此超额收益率也更高。我们同时发现，等权重组合预测法能够带来显著的样本期间外的超额收益率。我们的结果能够满足一系列的稳健性检验。

关键词：股票收益率；可预测性；收益率；部门；理性资产定价；印度

Are Indian stock returns predictable?

Paresh Kumar Narayan , Deepa Bannigidadmath

Abstract:

In this paper we show that Indian stock returns, based on industry portfolios, portfolios sorted on book-to-market, and on size, are predictable. While we discover that this predictability holds both in in-sample and out-of-sample tests, predictability is not homogenous. Some predictors are important than others and some industries and portfolios of stocks are more predictable and, therefore, more profitable than others. We also discover that a mean combination forecast approach delivers significant out-of-sample performance. Our results survive a battery of robustness tests.

Keywords: Stock returns; Predictability; Profits; Sectors; Rational asset pricing; India

原文链接：http://www.sciencedirect.com/science/article/pii/S0378426615001156

翻译：郎彪