On the Predictability of Stock Returns: An Asset-Allocation Perspective
从风险厌恶的贝叶斯投资者视角，考察月度股票收益的可预测性如何影响其股票与现金的资产配置决策，发现即使回归关系在统计上较弱，预测变量仍能显著影响投资组合选择。
Sample evidence about the predictability of monthly stock returns is considered from the perspective of a risk-averse Bayesian investor who must allocate funds between stocks and cash. The investor uses the sample evidence to update prior beliefs about the parameters in a regression of stock returns on a set of predictive variables. The regression relation can seem weak when described by usual statistical measures, but the current values of the predictive variables can exert a substantial influence on the investor's portfolio decision, even when the investor's prior beliefs are weighted against predictability.