Shocks to the equity capital ratio of financial intermediaries and the predictability of stock return volatility

Feng He and Libo Yin

Journal of Forecasting, 2021, vol. 40, issue 6, 945-962

Abstract: This paper shows that shocks to the equity capital ratio of financial intermediaries (CRFI) have predictive ability for stock realized volatility, from both in‐sample and out‐of‐sample perspectives. The revealed predictability is also of economic significance, in that it examines the performance of portfolios constructed on the basis of CRFI forecasts of stock volatility. Robustness test results suggest that CRFI provides different information from traditional macro variables. Further analysis shows that simple linear regression is good enough in capturing predictive relationships between CRFI and stock volatility.

Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
https://doi.org/10.1002/for.2754

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:wly:jforec:v:40:y:2021:i:6:p:945-962

Access Statistics for this article

Journal of Forecasting is currently edited by Derek W. Bunn

More articles in Journal of Forecasting from John Wiley & Sons, Ltd.
Bibliographic data for series maintained by Wiley Content Delivery ().