Publications in Scientific Journals:
T. Dangl, M. Halling:
"Predictive Regressions with Time-Varying Coefficients";
Journal Of Financial Economics,
106
(2012),
1;
157
- 181.
English abstract:
We evaluate predictive regressions that explicitly consider the time-variation
of coefficients in a comprehensive Bayesian framework. For monthly returns
of the Standard & Poor´s S&P 500 index, we demonstrate statistical as well
as economic evidence of out-of-sample predictability: relative to an investor
using the historic mean, an investor using our methodology could have earned
consistently positive utility gains (between 1.8% and 5.8% per year over different
time periods). We also find that predictive models with constant coefficients
are dominated by models with time-varying coefficients. Finally,
we show a strong link between out-of-sample predictability and the business
cycle.
Keywords:
Empirical asset pricing, equity return prediction, Bayesian econometrics
"Official" electronic version of the publication (accessed through its Digital Object Identifier - DOI)
http://dx.doi.org/10.1016/j.jfineco.2012.04.003
Created from the Publication Database of the Vienna University of Technology.