X hits on this document

PDF document

Maximizing Equity Market Sector Predictability in a Bayesian Time Varying Parameter Model* - page 37 / 46

268 views

0 shares

0 downloads

0 comments

37 / 46

Table 6 Cross Sectional Regression Results

0

1 (market)

2 (macro)

-0.0601

0.1977

-

(0.1656)

(0.2035)

-

Panel B. Bayesian CAPM Betas and Expanding Predicted Returns

0

1 (market)

2 (macro)

-0.0141

0.1464

-

(0.1534)

(0.1708)

-

0

1 (market)

2 (macro)

-0.0086

-0.1546

0.6330

(0.1935)

(0.2566)

(0.2706)

Cross sectional regression results for tests of the importance of the market portfolio and predicted returns based on lagged macroeconomic indicators on S&P 500 sector portfolio returns are summarized. The OLS regression coefficients are expressed as percentage per week. For each cross-sectional regression at time t, the regressors are a constant term, the betas from a contemporaneous time series regression on the return on the S&P 500 index at time t-1 and a forecasted return estimated with lagged macroeconomic factors through period t-1. Expanding betas for the market portfolio and predicted returns are estimated using data beginning in January 1990. Rolling CAPM betas and predicted returns are estimated using the most recent 50 weeks of data. Bayesian betas and predicted returns are estimated in the time varying parameter model described in section 2. The out of sample forecast period is the week ending October 14, 1994 to the week ending January 10, 2003. The number of cross sectional regressions is 429. Fama-MacBeth standard errors are underneath the coefficients in parentheses.

0

1 (market)

2 (macro)

-0.0563

0.1874

-

(0.1975)

(0.2292)

-

-0.0925

0.1651

0.1285

(0.1736)

(0.2176)

(0.3714)

-0.0670

0.1119

0.2562

(0.1440)

(0.1877)

(0.0983)

Panel D. Expanding CAPM Betas and Bayesian Predicted Returns

Panel C. Rolling CAPM Betas and Rolling Predicted Returns

0

1 (market)

2 (macro)

-0.0649

0.0142

0.5611

(0.1729)

(0.2258)

(0.2650)

-0.0849

0.1571

0.1502

(0.1916)

(0.2464)

(0.3814)

Panel E. Bayesian CAPM Betas and Bayesian Predicted Returns

Panel A. Expanding CAPM Betas and Expanding Predicted Returns

36

Document info
Document views268
Page views268
Page last viewedThu Dec 08 19:08:29 UTC 2016
Pages46
Paragraphs1927
Words14448

Comments