The Efficacy of Neural Networks in Predicting Returns on Stock and Bond Indices*
用新开发的检验方法发现股票和债券超额收益与经济和金融变量之间存在非线性关系，并比较了神经网络、线性回归和GARCH模型的预测能力。
ABSTRACT This paper uses two recently developed tests to identify neglected nonlinearity in the relationship between excess returns on four asset classes and several economic and financial variables. Having found some evidence of possible nonlinearity, it was then investigated whether the predictive power of these variables could be enhanced by using neural network models instead of linear regression or GARCH models. Some evidence of nonlinearity in the relationships between the explanatory variables and large stocks and corporate bonds was found. It was also found that the GARCH models are conditionally efficient with respect to neural network models, but the neural network models outperform GARCH models if financial performance measures are used. In resonance with the results reported for the tests for neglected nonlinearity, it was found that the neural network forecasts are conditionally efficient with respect to linear regression models for large stocks and corporate bonds, whereas the evidence is not statistically significant for small stocks and intermediate‐term government bonds. This difference persists even when financial performance measures for individual asset classes are used for comparison.