A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
Détails
ID Serval
serval:BIB_D1F52F96681D
Type
Article: article d'un périodique ou d'un magazine.
Collection
Publications
Institution
Titre
A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
Périodique
Review of Financial Studies
ISSN
0893-9454
Statut éditorial
Publié
Date de publication
07/2008
Peer-reviewed
Oui
Volume
21
Numéro
4
Pages
1455-1508
Langue
anglais
Notes
Michael Brennan Award for Best Paper at the Review of Financial Studies
Résumé
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.
Mots-clé
Stock return predictability, long-horizon regressions, book-to-market, expected returns, dividend yields, economic-significance, exchange-rates, term structure, risk premiums, inflation
Web of science
Création de la notice
07/07/2009 14:30
Dernière modification de la notice
20/08/2019 16:52