南方科技大学知识苑(SUSTech KC): The economic measure of riskiness, forward-looking information and predictability of return rate

题名	The economic measure of riskiness, forward-looking information and predictability of return rate
作者	Huang, Jinbo 1; You, Yiling 2; Zhu, Yimin3
通讯作者	Huang, Jinbo
发表日期	2024-07-25
DOI	10.12011/SETP2023-1695
发表期刊	Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice 影响因子和分区
ISSN	1000-6788
卷号	44页码:2137-2154
摘要	How to accurately forecast risk is a practical problem faced by investors and an important theoretical issue in the field of financial research. In the past, risk measurement using historical data often lacked foresight, leading to poor practical performance of risk management tools. In order to improve the foresight and accuracy of risk forecast, this paper employs the cashflow replication method to extract implied economic risk (IER) that is proposed by Nobel laureate Aumann and others from the SSE 50ETF option prices, and predicts future returns based on IER. It is found that: ① Chinese options market implies the future risk of the stock market, and the IER assumes a similar function to the fear index VIX in America, that is, the IER decreases when the market is strong, and vice versa. ② The in-sample tests show that the IER can negatively predict the future return of the underlying asset significantly since it contains the risk-neutral moment information of the return rate. ③ The forecast tests indicate that the IER delivers statistically significant out-of-sample R² relative to the historical average return and the "backward-looking" economic risk indices, therefore asset allocation strategies with IER can get economically significant gains than competitive predictors. The conclusions of this paper have important policy meaning and practical implications. © 2024 Systems Engineering Society of China. All rights reserved.
收录类别	EI
语种	中文
学校署名	其他
资助项目	National Natural Science Foundation of China (72371079, 71971068, 72301077); Natural Science Foundation of Guangdong Province of China (2023B1515020045); Science and Technology Plan Project of Guangzhou (20212210002); 2035 Plan of Social Science Foundation of Shenzhen University (ZYZD2302)\u4F5C\u8005\u7B80\u4ECB: \u901A\u4FE1\u4F5C\u8005: \u9EC4\u91D1\u6CE2 (1983\u2013), \u7537, \u6C49, \u6CB3\u5357\u5149\u5C71\u4EBA, \u535A\u58EB, \u6559\u6388, \u535A\u58EB\u751F\u5BFC\u5E08, \u7814\u7A76\u65B9\u5411: \u91D1\u878D\u5DE5\u7A0B\u4E0E\u98CE\u9669\u7BA1\u7406, E-mail: yugen2001@163.com; \u5C24\u4EA6\u73B2 (1995\u2013), \u5973, \u6C49, \u6C5F\u82CF\u82CF\u5DDE\u4EBA, \u535A\u58EB\u7814\u7A76\u751F, \u7814\u7A76\u65B9\u5411: \u91D1\u878D\u5DE5\u7A0B\u4E0E\u98CE\u9669\u7BA1\u7406, \u6CE2\u52A8 \u7387\u5EFA\u6A21\u4E0E\u5E94\u7528, E-mail: 202200220067@uibe.edu.cn; \u6731\u9038\u6C11 (1999\u2013), \u7537, \u6C49, \u5E7F\u4E1C\u60E0\u5DDE\u4EBA, \u535A\u58EB\u7814\u7A76\u751F, \u7814\u7A76\u65B9\u5411: \u91D1\u878D \u5DE5\u7A0B\u4E0E\u98CE\u9669\u7BA1\u7406, E-mail: 12331467@mail.sustech.edu.cn. \u57FA\u91D1\u9879\u76EE: \u56FD\u5BB6\u81EA\u7136\u79D1\u5B66\u57FA\u91D1 (72371079, 71971068, 72301077); \u5E7F\u4E1C\u7701\u81EA\u7136\u79D1\u5B66\u57FA\u91D1\u6770\u9752\u9879\u76EE (2023B1515020045); \u5E7F \u5DDE\u5E02\u79D1\u6280\u8BA1\u5212 (20212210002); \u6DF1\u5927\u793E\u79D1 2035 \u8BA1\u5212 (ZYZD2302) Foundation item: National Natural Science Foundation of China (72371079, 71971068, 72301077); Natural Science Foundation of Guangdong Province of China (2023B1515020045); Science and Technology Plan Project of Guangzhou (20212210002); 2035 Plan of Social Science Foundation of Shenzhen University (ZYZD2302) \u4E2D\u6587\u5F15\u7528\u683C\u5F0F: \u9EC4\u91D1\u6CE2, \u5C24\u4EA6\u73B2, \u6731\u9038\u6C11. \u7ECF\u6D4E\u98CE\u9669\u7684\u524D\u77BB\u6027\u6D4B\u5EA6\u4E0E\u6536\u76CA\u7387\u9884\u6D4B [J]. \u7CFB\u7EDF\u5DE5\u7A0B\u7406\u8BBA\u4E0E\u5B9E\u8DF5, 2024, 44(7): 2137\u20132154. \u82F1\u6587\u5F15\u7528\u683C\u5F0F: Huang J B, You Y L, Zhu Y M. The economic measure of riskiness, forward-looking information and predictability of return rate[J]. Systems Engineering \u2014 Theory & Practice, 2024, 44(7): 2137\u20132154.
出版者	Systems Engineering Society of China
EI入藏号	20242916730865
EI主题词	Commerce ; Forecasting ; Investments ; Risk assessment
EI分类号	Accidents and Accident Prevention:914.1
来源库	EV Compendex
引用统计
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/794438
专题	商学院南方科技大学
作者单位	1.College of Economics, Shenzhen University, Shenzhen; 518060, China 2.China School of Banking and Finance, University of International Business and Economics, Beijing; 100029, China 3.School of Business, Southern University of Science and Technology, Shenzhen; 518055, China
推荐引用方式 GB/T 7714	Huang, Jinbo,You, Yiling,Zhu, Yimin. The economic measure of riskiness, forward-looking information and predictability of return rate[J]. Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice,2024,44:2137-2154.
APA	Huang, Jinbo,You, Yiling,&Zhu, Yimin.(2024).The economic measure of riskiness, forward-looking information and predictability of return rate.Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice,44,2137-2154.
MLA	Huang, Jinbo,et al."The economic measure of riskiness, forward-looking information and predictability of return rate".Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice 44(2024):2137-2154.