本研究在追蹤資料的架構下探討短期投資組合報酬預測之可行性。除了利用總體經濟變數之外，我們亦嘗試利用投資人情緒指標（Investor Sentiment Index）以及另外提出一全新資本流動追蹤指數（Capital Flow Indicator）來建構足以解釋以及投資組合報酬之模型。
本研究以Campbell 以及Thompson (2008)提出之樣本外預測值為基礎，試圖找出解釋以及預測投資組合報酬之最佳因子組合。實證結果證實我們的模型能產生優於大盤歷史平均之樣本外預測結果。本研究另一貢獻在於利用樣本外預測圖形可有效預測全球金融危機。

This paper examines the short-horizon out-of-sample prediction of portfolio returns using the pool panel framework together with Economic variables and indicators capturing the international capital allocations and investor sentiments. Empirical evidence shows our models outperform the historical average out-of-sample method in US and world portfolios in terms of their performance.
Furthermore, we base a crisis monitoring index on measures and show their promising performances in detecting the potential global crises.

Acharya, V. V., & Richardson, M. P. (Eds.) .(2009). Restoring financial stability: how to repair a failed system (Vol. 542). John Wiley & Sons.
Allen, M. T., Madura, J., & Springer, T. M. (2000). REIT Characteristics and the Sensitivity of REIT Returns. The Journal of Real Estate Finance and Economics, 21(2), 141-152.
Balvers, R. J., Cosimano, T. F., & McDonald, B. (1990). Predicting stock returns in an efficient market. The Journal of Finance, 45(4), 1109-1128.
Baker, S. R., Bloom, N., & Davis, S. J. (2016). Measuring economic policy uncertainty. The Quarterly Journal of Economics, 131(4), 1593-1636.
Baker, Malcolm, and Jeffrey Wurgler. (2006). Investor sentiment and the cross‐section of stock returns. The Journal of Finance 61.4 ,1645-1680.
Baker, M., Wurgler, J., & Yuan, Y. (2012) . Global, local, and contagious investor sentiment. Journal of financial economics, 104(2), 272-287.
Baur, D. G., & Lucey, B. M. (2010). Is gold a hedge or a safe haven? An analysis of stocks, bonds and gold. Financial Review, 45(2), 217-229.
Bekaert, Geert, and Campbell R. Harvey. (1988) . Capital flows and the behavior of emerging market equity returns. No. w6669. National bureau of economic research.
Berk K.N., 1974. Consistent Autoregressive Spectral Estimates. Ann. Statist.
Brennan, M. J., & Xia, Y. (2005) . Tay's as good as cay. Finance Research Letters, 2(1), 1-14.
Brown, G. W., & Cliff, M. T. (2005). Investor sentiment and asset valuation. The Journal of Business, 78(2), 405-440.
Campbell, J. Y., Serfaty‐De Medeiros, K., & Viceira, L. M. (2010). Global currency hedging. The Journal of Finance, 65(1), 87-121.
Campbell, J. Y., & Thompson, S. B. (2008). Predicting excess stock returns out of sample: Can anything beat the historical average?. The Review of Financial Studies, 21(4), 1509-1531.
Cindy S.H. Wang, Cheng Hsiao,&H.H.Yang. (2017).Contagion, Systemic Risk and Diagnostic Tests in Large Mixed Panels, working paper.
Chen, N. F., Roll, R., & Ross, S. A. (1986). Economic forces and the stock market. Journal of business, 383-403.
Chiah, M., Chai, D., Zhong, A., & Li, S. (2016). A Better Model? An Empirical Investigation of the Fama–French Five‐factor Model in Australia. International Review of Finance, 16(4), 595-638.
Ciner, C., Gurdgiev, C., & Lucey, B. M. (2013). Hedges and safe havens: An examination of stocks, bonds, gold, oil and exchange rates. International Review of Financial Analysis, 29, 202-211.
Connor, Gregory. (1997). Sensible return forecasting for portfolio management. Financial Analysts Journal 53.5 : 44-51
Connor, G., & Korajczyk, R. A. (1988). Risk and return in an equilibrium APT: Application of a new test methodology. Journal of Financial Economics, 21(2), 255-289.
Cunado, Juncal, and Fernando Perez de Gracia. (2014). Oil price shocks and stock market returns: Evidence for some European countries. Energy Economics 42 : 365-377.
Davidson, Sinclair, Robert Faff, and David Hillier .(2003).Gold factor exposures in international asset pricing.Journal of International Financial Markets, Institutions and Money 13.3 : 271-289.
DeMiguel, V., Nogales, F. J., & Uppal, R. (2014) . Stock return serial dependence and out-of-sample portfolio performance. The Review of Financial Studies, 27(4), 1031-1073.
Dimic, N., Kiviaho, J., Piljak, V., & Äijö, J. (2016). Impact of financial market uncertainty and macroeconomic factors on stock–bond correlation in emerging markets. Research in International Business and Finance, 36, 41-51.
Fama, E. F. (1970). Efficient capital markets: A review of theory and empirical work. The Journal of Finance, 25(2), 383-417.
Fama, E. F. (1981). Stock returns, real activity, inflation, and money. The American economic review, 71(4), 545-565.
Fama, E. F. (1991). Efficient capital markets: II. The Journal of Finance, 46(5), 1575-1617.
Fama, Eugene F., and Kenneth R. French (1993). Common risk factors in the returns on stocks and bonds. Journal of Financial Economics 33.1 : 3-56.
Fama, Eugene F., and Kenneth R. French (2015). Incremental variables and the investment opportunity set. Journal of Financial Economics 117.3 : 470-488.
Forbes, Kristin J., and Francis E. Warnock (2012). Capital flow waves: Surges, stops, flight, and retrenchment. Journal of International Economics 88.2 : 235-251.
Glen, Jack, and Philippe Jorion (1993). Currency hedging for international portfolios. The Journal of Finance 48.5 : 1865-1886.
Goyal, Amit, and Ivo Welch (2003). Predicting the equity premium with dividend ratios. Management Science 49.5 : 639-654.
Griffin, J. M. (2002). Are the Fama and French factors global or country specific?. The Review of Financial Studies, 15(3), 783-803.
Guerard Jr, J. B., Markowitz, H., & Xu, G. (2015). Earnings forecasting in a global stock selection model and efficient portfolio construction and management. International Journal of Forecasting, 31(2), 550-560.
Ho, C., & Hung, C. H. (2009). Investor sentiment as conditioning information in asset pricing. Journal of Banking & Finance, 33(5), 892-903.
Hu, O. (2007). APPLICABILITY OF THE FAMA‐FRENCH THREE‐FACTOR MODEL IN FORECASTING PORTFOLIO RETURNS. Journal of financial research, 30(1), 111-127.
Jensen, Gerald R., Jeffrey M. Mercer, and Robert R. Johnson (1996). Business conditions, monetary policy, and expected security returns. Journal of Financial Economics 40.2 : 213-237.
Karolyi, G. Andrew, and René M. Stulz (2003). Are financial assets priced locally or globally?. Handbook of the Economics of Finance 1 : 975-1020.
Kim, Jeong-Ryeol (2003).The stock return-inflation puzzle and the asymmetric causality in stock returns, inflation and real activity. Economics Letters 80.2 : 155-160.
Lettau, Martin, and Stijn Van Nieuwerburgh (2007).Reconciling the Return Predictability Evidence: The Review of Financial Studies: Reconciling the Return Predictability Evidence. The Review of Financial Studies 21.4 : 1607-1652.
Lynch, Anthony W. (2001) .Portfolio choice and equity characteristics: Characterizing the hedging demands induced by return predictability. Journal of Financial Economics 62.1 : 67-130.
Miao, Y., & Pant, M. (2012). Coincident indicators of capital flows. IMF Working paper
Narayan, Paresh Kumar, and Rangan Gupta (2015). Has oil price predicted stock returns for over a century?. Energy Economics 48 : 18-23.
Narayan, Paresh Kumar, and Susan Sunila Sharma (2011) .New evidence on oil price and firm returns." Journal of Banking & Finance 35.12: 3253-3262.
Patro, D. K., Qi, M., & Sun, X. (2013) . A simple indicator of systemic risk. Journal of Financial Stability, 9(1), 105-116.
Perotti, P., & Wagenhofer, A. (2014) . Earnings quality measures and excess returns. Journal of business finance & accounting, 41(5-6), 545-571.
Perron, P., & Ng, S. (1996). Useful modifications to some unit root tests with dependent errors and their local asymptotic properties. The Review of Economic Studies, 63(3), 435-463.
Perron, P., & Ng, S. (1998) . An autoregressive spectral density estimator at frequency zero for nonstationarity tests. Econometric theory, 14(5), 560-603.
Pesaran, M. Hashem, and Allan Timmermann (1995) . Predictability of stock returns: Robustness and economic significance. The Journal of Finance 50.4 : 1201-1228.
Phan, D. H. B., Sharma, S. S., & Narayan, P. K. (2015). Stock return forecasting: some new evidence. International Review of Financial Analysis, 40, 38-51.
Poskitt, D. S. (2007). Autoregressive approximation in nonstandard situations: The fractionally integrated and non-invertible cases. Annals of the Institute of Statistical Mathematics, 59(4), 697-725.
Ranaldo, A., & Söderlind, P. (2010) . Safe haven currencies. Review of Finance, 14(3), 385-407.
Reinhart, C. M., & Reinhart, V. R. (2008) . Capital flow bonanzas: an encompassing view of the past and present (No. w14321). National Bureau of Economic Research.
Tsai, Chun-Li (2015) . How do US stock returns respond differently to oil price shocks pre-crisis, within the financial crisis, and post-crisis?. Energy Economics 50 : 47-62.
Williams, Tomas, Claudio Raddatz, and Sergio L. Schmukler (2017) .International Asset Allocations and Capital Flows: The Benchmark Effect. Journal of International Economics .