The Optimal Use of Return Predictability: An Empirical Study
研究了多种常用预测变量对资产回报可预测性的经济价值和统计显著性，发现滞后期限利差、信用利差和通胀能显著改善风险收益权衡，且动态策略优于买入持有策略。
Abstract In this paper we study the economic value and statistical significance of asset return predictability, based on a wide range of commonly used predictive variables. We assess the performance of dynamic, unconditionally efficient strategies, first studied by Hansen and Richard (1987) and Ferson and Siegel (2001), using a test that has both an intuitive economic interpretation and known statistical properties. We find that using the lagged term spread, credit spread, and inflation significantly improves the risk-return trade-off. Our strategies consistently outperform efficient buy-and-hold strategies, both in and out of sample, and they also incur lower transactions costs than traditional conditionally efficient strategies.