Predicting the equity premium around the globe

Predicting the equity premium around the globe - ScienceDirect.com

We provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in ...

Predicting the Equity Premium around the Globe

We provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in ...

Predicting the Equity Premium around the Globe

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

Predicting the equity premium around the globe - 1Search

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

Predicting the equity premium around the globe

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

Predicting the Equity Premium around the Globe - ResearchGate

Using more than 140 years of data, we comprehensively analyze the predictive power of a broad set of business cycle variables for risk and ...

Predicting the equity premium around the globe

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

Predicting the equity premium around the globe - ResearchGate

Request PDF | On Jun 1, 2024, Fabian Hollstein and others published Predicting the equity premium around the globe: Comprehensive evidence ...

Predicting the equity premium with a high‐threshold risk level and ...

The equity premium declines linearly with sentiment but increases nonlinearly with VIX, stepping up appreciably when VIX exceeds a threshold ...

Predicting the Equity Premium with Combination Forecasts

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

Predicting the Equity Premium Out Of Sample: Can Anything Beat ...

Around the same time, several papers pointed out that yields on short- and long-term Treasury and corporate bonds are correlated with subsequent stock returns ( ...

Predicting the equity premium with financial ratios - ScienceDirect.com

We also assess the economic gains of the predictability by examining the certainty equivalent return for a mean-variance investor. We find that the CAPE ratio ...

A Comprehensive Look at the Empirical Performance of Equity ...

one would have helped a real-world investor outpredicting the then-prevailing historical equity ... predicting the equity premium. The most prominent x variables ...

Comprehensive 2022 Look at the Empirical Performance of Equity ...

Since Goyal and Welch 2008, henceforth GW, a large number of papers predicting the equity premium have been published in top finance journals. Most have been ...

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 ...

Equity Premium Predictions with Adaptive Macro Indices Abstract

Finally, to test the real-world economic significance of these adaptive predictions, I examine the profitability of trading portfolios under two investment ...

Predicting the Equity Premium with a High-Threshold Risk Level and ...

The equity premium declines linearly with sentiment but increases nonlinearly with VIX, stepping up appreciably when VIX exceeds a threshold around its 80th to ...

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

While a host of economic variables have been identified in the literature with the ap- parent in-sample ability to predict the equity premium, Goyal and Welch ( ...

Equity premium predictability over the business cycle | CEPR

In addition, recessions are usually preceded by an inverted yield curve. This column shows that the term spread is a robust predictor of ...

What can we learn about the equity premium from professional ...

Consistent with this feature, we find that MPLS produces countercyclical equity premium forecasts and its forecasting performance is inversely related to ...