The Economic Value of Predicting Stock Index Returns and Volatility
基于简单线性模型，利用月度数据预测标普500指数收益与波动，检验1970-2001年间多种交易策略的经济价值，发现波动高时收益更易预测，且同时择时收益与波动的策略优于仅择时收益的策略。
Abstract In this paper, we analyze the economic value of predicting stock index returns as well as volatility. On the basis of simple linear models, estimated recursively, we produce out-of-sample forecasts for the return on the S&P 500 index and its volatility. Using monthly data, we examine the economic value of a number of alternative trading strategies over the period 1970–2001. It appears easier to forecast returns at times when volatility is high. For a mean-variance investor, this predictability is economically profitable, even if short sales are not allowed and transaction costs are quite large. The economic value of trading strategies that employ market timing in returns and volatility exceeds that of strategies that only employ timing in returns. Most of the profitability of the dynamic strategies, however, is located in the first half of our sample period.