A Predictive System with Heteroscedastic Expected Returns and Economic Constraints

Maxime Bonelli, Daniel Mantilla-Garcia: We propose a variation of a predictive system that incorporates two (additional) economically motivated assumptions about the dynamics of expected returns, namely 1) their positivity, and 2) a time-varying volatility correlated with economic regimes.

Author(s):

Maxime Bonelli

Research Engineer, Koris International

Daniel Mantilla-Garcia

Research Associate, EDHEC-Risk InstituteHead of Research & Development, Koris International

The implications of the modified system are consistent with well established empirical facts of stock returns, in particular, the simpler version of the modified system without predictors can explain the well documented countercyclicality of the dividend-price ratio’s predictive power. In empirical tests we find that the system can produce significantly lower forecast errors than the historical mean out-ofsample as well as some improvement compared to the original system.

Pdf

A Predictive System with Heteroscedastic Expected Returns and Economic Constrain...

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Type:	Working paper
Date:	le 07/07/2014
Extra information :	For more information, please contact EDHEC Research and Development Department [ research@drd.edhec.edu ]
Research Cluster :	Finance

About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools, ranked 1st worldwide for its Master in Finance. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.

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A Predictive System with Heteroscedastic Expected Returns and Economic Constraints

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