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

62 Pages Posted: 24 Sep 2021 Last revised: 12 Oct 2021

See all articles by Amit Goyal

Amit Goyal

University of Lausanne; Swiss Finance Institute

Ivo Welch

University of California, Los Angeles (UCLA); National Bureau of Economic Research (NBER)

Athanasse Zafirov

affiliation not provided to SSRN

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

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

Amit Goyal

University of Lausanne ( email )

Batiment Extranef 226
Lausanne, Vaud CH-1015
Switzerland
+41 21 692 3676 (Phone)
+41 21 692 3435 (Fax)

HOME PAGE: http://www.hec.unil.ch/agoyal/

Swiss Finance Institute ( email )

c/o University of Geneva
40, Bd du Pont-d'Arve
CH-1211 Geneva 4
Switzerland

Ivo Welch (Contact Author)

University of California, Los Angeles (UCLA) ( email )

110 Westwood Plaza
C519
Los Angeles, CA 90095-1481
United States
310-825-2508 (Phone)

HOME PAGE: http://www.ivo-welch.info

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Athanasse Zafirov

affiliation not provided to SSRN

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
140
Abstract Views
384
rank
261,333
PlumX Metrics