期刊论文

Jie Kang

英文

International Journal of Forecasting

0169-2070

2025

10.1016/j.ijforecast.2024.11.007

CRediT authorship contribution statement Zhifeng Dai: Validation, Supervision, Project administration, Investigation, Conceptualization. Fuwei Jiang: Writing – original draft, Validation, Supervision, Methodology, acquisition, Formal analysis. Jie Kang: Writing – review & editing, Writing – original draft, Validation, Software, Methodology, Investigation, Formal analysis. Bowen Xue: Writing – review & editing, Supervision, Project administration, Formal analysis.

本校为第一机构

This paper investigates the role of time–frequency information in dimension reduction prediction of stock returns. Using the long-term wavelet component of monthly S&P500 excess returns as supervision, we employ a machine learning method to extract the common predictive factor from prevalent macroeconomic variables and construct a new macroeconomic index aligned with stock return prediction. The macroeconomic index exhibits significant predictive power, both in and out of sample, at the market and portfolio levels. It outperforms all individua...