A Recursive Modelling Approach to Predicting UK Stock Returns
将Pesaran和Timmermann（1995）的递归建模策略扩展并应用于英国股市，模拟投资者实时寻找能预测股票收益的模型，发现存在可被利用的预测性以改善风险收益权衡。
This paper applies an extended and generalised version of the recursive modelling strategy developed in Pesaran and Timmermann (1995) to the UK stock market. The focus of the analysis is to simulate investors' search in 'real time' for a model that can forecast stock returns. We find evidence of predictability in UK stock returns which could have been exploited by investors to improve on the risk‐return trade‐off offered by a passive strategy in the market portfolio. Alternative interpretations of this finding are briefly discussed.