本文研究美國股票與公債市場戰略式投資輪轉策略。首先，本文修 改 Pagan and Sossounov (2003) 提出的規則，將股票與公債認定成三 種不同的週期，分別為「月報酬方向」、「短週期趨勢」、「長週期 趨勢」。實證方面則是採用遞迴法，每期均會使用 ADF 檢定與 Lasso Logistic Regression 重新篩選一次變數，最後再使用 Logit 模型進行機 率估計。樣本外投資績效方面，本文發現三種模型均顯著優於大盤表 現，其中「短週期模型」所得到的績效表現最佳。另外，本文也發現 三種模型在不同期間選擇的變數均不盡相同，顯示相對於傳統方法， 採用遞迴選取變數法，不但可以看出三個模型所採用的變數均不相 同，並且每一個變數在不同時間下，對於股債項牛市機率也有不同的 預估能力。

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