Predicting the Equity Premium with Combination Forecasts

Forecasting the equity premium: can machine learning beat the ...

We attribute this failure to the small dataset size and the low signal-to-noise ratio inherent in equity premium prediction. Our variable ...

Out-of-Sample Equity Premium Prediction: Combination Forecasts ...

out-of-sample forecast relative to historical average. Solution. • A combination approach to the out-of-sample equity premium forecasting ...

Bagging Constrained Equity Premium Predictors

The last row reports a simple, equally weighted, combined forecast from all 11 individual forecasts. ... Thompson (2008): “Predicting the Equity Premium Out of ...

Equity premium prediction: keep it sophisticatedly simple - AIMS Press

Following the keep-it-sophisticatedly-simple principle, KISS, we propose using the averaging window approach to forecast the market equity premium in unstable ...

Predicting the equity premium out-of-sample: Are there superior ...

In our empirical analysis, we restrict the equity premium forecasts obtained from the conventional predictive regressions to be non-negative. Combination ...

Predicting the Equity Premium with Combination Forecasts - CiteDrive

Abstract This paper reappraises the usefulness of combining individual forecasts for predicting the U.S. equity premium. For comparison, we also consider ...

EQUITY PREMIUM PREDICTION AND THE STATE OF THE ... - RCEA

A prominent two-predictor forecast combination that performs well is the dividend yield and the short rate. Strategies designed for ex-ante timing of the ...

Predicting the Equity Premium with Dividend Ratios - jstor

Over shorter horizons, dividend yields primarily forecast themselves. (Equity Premium; Stock Returns; Dividend Yield; Out-of-Sample Prediction). 1. Introduction.

Combination Forecasts and Links to the Real Economy - Ex Libris

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent ...

Macroeconomic factors and equity premium predictability

... forecasts of the equity premium. In par- ticular, our proposed forecast combination approach, which combines forecasts of the most relevant Neely et al.

Combination Forecasts and Links to the Real Economy - ILO Library

Welch and Goyal (2008) find that numerous economic variables with in-sample predictive ability for the equity premium fail to deliver consistent ...

Macroeconomic Factors and Equity Premium Predictability

combination approach, where forecasts of the equity premium are constructed separately from ... to the predictor set when constructing forecasts of the equity ...

Equity Premium Prediction: Are Economic and Technical Indicators ...

More recently, Rapach et al. (2010) suggested that combination measures of economic indicators may lead to better forecasting results. Second, our study is ...

Out-of-Sample Equity Premium Predictability in South Africa - jstor

Note, in addition to forecast combination via principal components, we also look at forecasting capabilities of predictive regressions based on principal ...

Equity Premium Predictions with Adaptive Macro Indices Abstract

Zhou (2010), “Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy,” Review of Financial Studies 23, 821. – 862. [61] ...

Forecasting the Equity Risk Premium with Frequency-Decomposed ...

We show that the out-of-sample forecast of the equity risk premium can be significantly improved by taking into account the frequency-domain relationship ...

Out-of-sample equity premium prediction: a scenario analysis ...

forecasts from predictive quantile linear regression of return on a single predictor, and then produces an equity premium forecast by combining these individual ...

Forecasting the equity risk premium: can MLM be of use?

Using Machine Learning Programs to Forecast the Equity Risk Premium · The results were robust to the choice of window estimation schemes, data ...

Forecasting Stock Market Out-of-Sample with Regularised ...

This research focuses mainly on the application of regularised Regression Training (RT) techniques to forecast monthly equity premium out-of-sample recursively ...

Predicting the equity premium with the implied volatility spread

Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. Review of Financial Studies. 23, 821-. 862 ...