南方科技大学知识苑(SUSTech KC): Estimation of expected return integrating real-time asset prices implied information and historical data

题名	Estimation of expected return integrating real-time asset prices implied information and historical data
作者	Wang, Shikun 1; Zhu, Shushang 1; Li, Zhongfei 2; Huang, Yi3
通讯作者	Huang, Yi
发表日期	2024-10-01
DOI	10.1016/j.jedc.2024.104931
发表期刊	JOURNAL OF ECONOMIC DYNAMICS & CONTROL 影响因子和分区
ISSN	0165-1889
EISSN	1879-1743
卷号	167
摘要	In this paper, we develop a novel estimation for expected stock returns combining forward-looking information implied by real-time asset prices and backward-looking information implied by historical data. Considering a general heterogeneous market composed of both informed investors and noise investors, we investigate the market equilibrium characterized by the expected returns, risk-neutral moments and market portfolio. To mitigate the negative impact of the market noise on the forward-looking information implied in market equilibrium, we then incorporate historical data and propose the combined estimation for expected return within a Bayesian framework. The combined estimation is adaptive to the market composition and adjustable to changes in market states. Monte Carlo simulations and empirical studies are performed to validate the merits of the proposed approach.
关键词	Option-implied moments Market portfolio Heterogeneous investors Historical data Bayesian analysis
相关链接	[来源记录]
收录类别	SSCI
语种	英语
学校署名	通讯
资助项目	National Natural Science Foundation of China["71991474","71721001","72271250","71471180"]
WOS研究方向	Business & Economics
WOS类目	Economics
WOS记录号	WOS:001298327000001
出版者	ELSEVIER
来源库	Web of Science
引用统计
成果类型	期刊论文
条目标识符	http://sustech.caswiz.com/handle/2SGJ60CL/828664
专题	商学院_金融系
作者单位	1.Sun Yat Sen Univ, Sch Business, Guangzhou 510275, Peoples R China 2.Jishou Univ, Sch Math & Stat, Jishou 416000, Peoples R China 3.Southern Univ Sci & Technol, Dept Finance, Shenzhen 518055, Peoples R China
通讯作者单位	金融系
推荐引用方式 GB/T 7714	Wang, Shikun,Zhu, Shushang,Li, Zhongfei,et al. Estimation of expected return integrating real-time asset prices implied information and historical data[J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL,2024,167.
APA	Wang, Shikun,Zhu, Shushang,Li, Zhongfei,&Huang, Yi.(2024).Estimation of expected return integrating real-time asset prices implied information and historical data.JOURNAL OF ECONOMIC DYNAMICS & CONTROL,167.
MLA	Wang, Shikun,et al."Estimation of expected return integrating real-time asset prices implied information and historical data".JOURNAL OF ECONOMIC DYNAMICS & CONTROL 167(2024).