Industry volatility spillover and aggregate stock returns
构建了一个行业波动溢出指数，发现该指数对股票市场总体回报具有显著的样本内和样本外预测能力，一个标准差上升对应下月预期超额收益增加4.14%，且预测能力在控制其他变量后依然显著。
We propose an industry volatility spillover index and find that this new predictor has an impressive in-sample and out-of-sample predictability of aggregate stock returns. A one-standard-deviation increase in this index leads to a 4.14% increase in the expected excess return over the next month. Furthermore, a mean-variance investor can realize sizable economic gains by using this spillover index in his/her asset allocation. The forecasting power of the spillover index remains significant after controlling for popular economic variables and newly proposed predictors. Due to the absence of learning, the spillover index shows increasing predictive ability over the recent period. The economic origins of the spillover index’s success stem from both the cash flow and discount rate channels, as well as significant association with investor sentiment and tail risk. The return predictability of this index is pervasive across characteristic-sorted portfolios and is particularly strong for large-cap or difficult-to-value stocks.