A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Review of Financial Studies Oxford University Press

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction

The Review of Financial Studies, Volume 21 (4) – Jul 17, 2008

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Publisher
Oxford University Press
Copyright
© The Author 2007. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org.
Subject
Articles
ISSN
0893-9454
eISSN
1465-7368
D.O.I.
10.1093/rfs/hhm014
Publisher site
See Article on Publisher Site

Abstract

Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market.

Journal

The Review of Financial StudiesOxford University Press

Published: Jul 17, 2008

Keywords: JEL G12 G14

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