Download This PaperA Comprehensive Look at the Empirical Performance of Equity Premium Prediction II
62 Pages Posted: 24 Sep 2021 Last revised: 12 Oct 2021
Date Written: September 23, 2021
Abstract
Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch (2008), as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample. Our samples include the original periods in which these variables were identified, but ends later (in 2020). Most variables have already lost their empirical support, but a handful still perform reasonably well. Overall, the predictive performance remains disappointing
Keywords: equity premium, prediction, out-of-sample, skepticism
JEL Classification: G1,G11,G12
Suggested Citation: Suggested Citation
Goyal, Amit and Welch, Ivo and Zafirov, Athanasse, A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II (September 23, 2021). Available at SSRN: https://ssrn.com/abstract=3929119 or http://dx.doi.org/10.2139/ssrn.3929119
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