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

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

Over 1990 to 2023, we show that time-variation in the US equity premium is captured well by a parsimonious model with the CBOE's ...

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 a High-Threshold Risk Level and ...

... predictive setting. 3. Predicting the Equity Premium with a High VIX-threshold and. Sentiment: In-Sample Evidence. In Section 3.1, we begin by presenting our ...

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

Our interpretation is that a high‐VIX threshold identifies episodes of market stress that generally have both a sharply higher level of risk and an elevated ...

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

Abstract Over 1990 to 2023, we show that time variation in the U.S. equity premium is captured well by a parsimonious model with the CBOE's ...

FMA International on X: "Financial Management article "Predicting ...

Financial Management article "Predicting the equity premium with a high-threshold risk level and the price of risk" by Naresh Bansal (Saint ...

Predicting the equity risk premium using the smooth cross-sectional ...

I also study the alternative use of a rolling window for the forecasts, changing the length of the estimation window and addressing concerns related to dynamic ...

Equity Premium Research Articles - R Discovery

... equity risk premia. Commodity tail risk and equity risk ... equity premium with a high‐threshold risk level and the price of risk ... Predicting Equity Premium: A ...

Equity premium prediction: The role of information from the options ...

We use a range of econometric approaches to generate point, quantile, and density forecasts of the equity premium. We find that models based on option variables ...

Macroeconomic factors and equity premium predictability

To avoid “double counting issues'' due to the inclusion of high-level aggregates ... Forecasting the equity risk premium: The role of technical indicators.

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

forecasting regression to predict the log equity premium and highest ... Forecasting the equity risk premium: The role of technical indicators.

Time-Varying Equity Premia with a High-VIX Threshold - QuantPedia

To evaluate systematic risk, they primarily investigate subsequent excess returns for the aggregate stock market (primarily). For a beta-based position, that is ...

Equity premium predictability over the business cycle | CEPR

The US equity market follows a V-shaped pattern around recessions, with sharply negative returns heading into recessions and a strong ...

Stock Return Predictability: Riding the Risk Premium

percentage point higher (both are statistically significant at the 0.01 level) ... four different forecasting weights considered so far and setting the threshold ...

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

Value-oriented investors in the tradition of Graham and Dodd (1934) had always asserted that high valuation ratios are an in- dication of an undervalued stock ...

Let's Do It Again: Bagging Equity Premium Predictors

In our application to an indicator function, the bagged predictor smoothes the instability caused by estimation and model uncertainty and the hard threshold ...

The Pricing of Tail Risk and the Equity Premium

This tail risk premium is a potent predictor of future equity returns, while option- implied volatility only forecasts the future return variation. Hence, ...

Equity premium prediction: keep it sophisticatedly simple - AIMS Press

Historically, studies such as Campbell (1987) and Fama and French (1988) have documented in-sample evidence supporting the predictability of the ...

The Equity Risk Premium: More Risk For Higher Returns

The equity risk premium helps to set portfolio return expectations and determine asset allocation. A higher premium implies that you would invest a greater ...

Predicting the equity premium with the implied volatility spread

(2015) use a novel option-implied measure of risk to predict the equity risk premium and So et al. (2016) generate an option-implied measure of ...