A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II

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