Geopolitical risk and excess stock returns predictability: New evidence from a century of data

被引：25

作者：

Ma, Feng ^{[1
]}

Lu, Fei ^{[1
]}

Tao, Ying ^{[1
]}

机构：

[1] Southwest Jiaotong Univ, Sch Econ & Management, Chengdu, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2022年 / 50卷

关键词：

Geopolitical risks; Geopolitical threats; Excess stock returns; Portfolio performance; EQUITY PREMIUM; COMBINATION FORECASTS; VOLATILITY; SAMPLE; LINKS;

D O I：

10.1016/j.frl.2022.103211

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study applies a new series of geopolitical risk historical indices developed by Caldara and Iacoviello (2022) to predict stock returns. Empirical results show that the geopolitical threats index (GPRHT) can help in predicting stock returns, especially during expansion. Combined the geopolitical indices and 14 famous macroeconomic variables can yield good out-of-sample performances from statistical and economic viewpoints. Our research provides fresh perspectives on stock return predictability in light of geopolitical risks.

引用

页数：7

共 50 条

[21] Geopolitical risk and the predictability of spillovers between exchange, commodity and stock markets
Hao, Xinlei
Ma, Yong
Pan, Dongtao
[J]. JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, 2024, 73
[22] Evidence of predictability in the cross-section of bank stock returns
Cooper, MJ
Jackson, WE
Patterson, GA
[J]. JOURNAL OF BANKING & FINANCE, 2003, 27 (05) : 817 - 850
[23] Cross-sectional predictability of stock returns, evidence from the 19th century Brussels Stock Exchange (1873-1914)
Annaert, Jan
Mensah, Lord
[J]. EXPLORATIONS IN ECONOMIC HISTORY, 2014, 52 : 22 - 43
[24] Comovements in national stock market returns: Evidence of predictability, but not cointegration
Richards, AJ
[J]. JOURNAL OF MONETARY ECONOMICS, 1995, 36 (03) : 631 - 654
[25] A NOTE ON THE PREDICTABILITY OF FINNISH STOCK-MARKET RETURNS - EVIDENCE FROM STOCK INDEX FUTURES MARKETS
MARTIKAINEN, T
PUTTONEN, V
[J]. EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, 1994, 73 (01) : 27 - 32
[26] PREDICTABILITY OF MOVING AVERAGE RULES AND NONLINEAR PROPERTIES OF STOCK RETURNS: EVIDENCE FROM THE CHINA STOCK MARKET
Wang, Zhigang
Zeng, Yong
Pan, Heping
Li, Ping
[J]. NEW MATHEMATICS AND NATURAL COMPUTATION, 2011, 7 (02) : 267 - 279
[27] Expected risk and excess returns predictability in emerging bond markets
Lin, Chih-Ling
Wang, Ming-Chieh
Gau, Yin-Feng
[J]. APPLIED ECONOMICS, 2007, 39 (10-12) : 1511 - 1529
[28] Testing the predictability of commodity prices in stock returns of G7 countries: Evidence from a new approach
Salisu, Afees A.
Isah, Kazeem O.
Raheem, Ibrahim D.
[J]. RESOURCES POLICY, 2019, 64
[29] Spillover effects of the US stock market and the predictability of returns: international evidence based on daily data
Wen, Yi-Chieh
Li, Bin
Chen, Xiaoyue
Singh, Tarlok
[J]. APPLIED ECONOMICS, 2023, 55 (45) : 5251 - 5266
[30] Geopolitical risk and forecastability of tail risk in the oil market: Evidence from over a century of monthly data
Salisu, Afees A.
Pierdzioch, Christian
Gupta, Rangan
[J]. ENERGY, 2021, 235

← 1 2 3 4 5 →