Return direction forecasting:a conditional autoregressive shape model with beta density  

作　　者：Haibin Xie Yuying Sun Pengying Fan 

机构地区：[1]School of Banking and Finance,University of International Business and Economics,Beijing,China [2]Academy of Mathematics and Systems Science,Chinese Academy of Sciences,Beijing,China [3]School of Economics,Beijing Technology and Business University,Beijing,China

出　　处：《Financial Innovation》2023年第1期2251-2266,共16页金融创新（英文）

基　　金：Funding was provided by National Social Science Fund of China(Grant No.22BJY259);National Natural Science Foundation of China(Grant Nos.71971004,72271055);Research on Modeling of Return Rate Based on Mixed Distribution and Its Application in Risk Management(Grant No.19YB26).

摘　　要：This paper derives a new decomposition of stock returns using price extremes and proposes a conditional autoregressive shape(CARS)model with beta density to predict the direction of stock returns.The CARS model is continuously valued,which makes it different from binary classification models.An empirical study is performed on the US stock market,and the results show that the predicting power of the CARS model is not only statistically significant but also economically valuable.We also compare the CARS model with the probit model,and the results demonstrate that the proposed CARS model outperforms the probit model for return direction forecasting.The CARS model provides a new framework for return direction forecasting.

关 键 词：Return direction forecasting Price extremes CARS Beta distribution 

分 类 号：F832[经济管理—金融学]