Non‐linear Predictability of Value and Growth Stocks and Economic Activity
研究价值型和成长型股票组合的收益率是否可预测，并比较非线性模型（如平滑转换阈值模型）与线性模型的预测效果，发现非线性模型在样本内表现更好，样本外预测略有优势。
Recent empirical evidence suggests that stock market index returns are predictable from a variety of financial and macroeconomic variables. We extend this research by examining value and growth portfolios constructed by book‐to‐market ratio, and consider whether such predictability is evident here. Further, we assess whether such predictability is better characterised by a non‐linear form and whether such non‐linear predictability can be exploited to provide superior forecasts to those obtained from a linear model. General non‐linearities are examined using non‐parametric techniques, which suggest possible threshold behaviour. This leads to estimation of a smooth‐transition threshold model, with the results indicating an improved in‐sample performance and marginally superior out‐of‐sample forecast results.