Predicting the Equity Premium with Combination Forecasts

When a CSPE line ends above the horizontal line that runs through zero, the overall CSPE difference is positive and the model has predicted the equity premium ...

This paper reappraises the usefulness of combining individual forecasts for predicting the US equity premium.

Predicting the Equity Premium with Combination Forecasts

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

Predicting the Equity Premium with Combination Forecasts

The present paper reappraises the usefulness of forecast combination for predicting the US equity premium. For comparison, we also include ...

Predicting the equity premium around the globe - ScienceDirect.com

Examining 81 countries over a period of up to 145 years and using various predictor variables and forecasting specifications, ...

Predicting the Equity Premium with Combination Forecasts

Predicting the Equity Premium with Combination Forecasts: A Reappraisal ... To read the full-text of this research, you can request a copy ...

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

In addi- tion, we demonstrate that forecast combination stabilizes individual predictive regression model forecasts of the equity premium, much like ...

Replication Data and Code for: "Predicting the Equity Premium with ...

... Predicting the Equity Premium with Combination Forecasts: A Reappraisal". Version 1.0. , 2024-01-22, "Replication Data and Code for: "Predicting ...

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: The role of information from the options ...

We consider forecasts based on principal component analysis (PCA), which has often been adopted in equity premium prediction as a way to extract a common source ...

Equity Premium Prediction with Structural Breaks: A Two-Stage ...

This paper introduces a two-stage out-of-sample predictive model averaging approach to forecasting the U.S. market equity premium. In the first stage, we ...

Combinations Forecasts with Frequency-Decomposed Variables

“Out-of-Sample Equity Premium Prediction: Combination Forecasts with Frequency-Decomposed Variables”. Tobias Stein1. Deutsche Bundesbank and Goethe University ...

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

Combining delivers statistically and economically significant out-of-sample gains relative to the historical average consistently over time.

Predicting the equity premium via its components - EconStor

For comparability purposes we use the same forecast combination weights obtained from equity premium predictive regressions (with the exception of median ...

Equity Premium Predictability - CFA Society Toronto

In sample, multivariate regression predictions perform better than combination forecasts, although regression results ... predicting the equity premium: the ...

Out-of-Sample Equity Premium Prediction: Consistently Beating the ...

By combining forecasts across individual predictive regression models, we thus find that economic variables can be used to consistently beat historical average ...

Predicting the Equity Premium with Combination Forecasts - ivySCI

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

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

We recommend combining individual model forecasts to improve out-of-sample equity premium prediction. Combining delivers statistically and economically ...

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 ...

Out-of-Sample Equity Premium Prediction: The Role of Option ...

Besides univariate predictive regression, we investigate improvements upon the forecast combination that pools individual forecasts by standard univariate ...