A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction

• 成果类型: Article
• 署名作者: Goyal, Amit; Welch, Ivo; Zafirov, Athanasse
• 署名单位: Swiss Finance Institute (SFI)
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae044
• 发表日期: 2024
• 页码: 3490
• 关键词: BOOK-TO-MARKET; False Discovery Rate; stock returns; cross-section; Investor sentiment; predictability; sample; tests; RISK; consumption

摘要

Our paper reexamines whether 29 variables from 26 papers published after , as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample as of the end of 2021. Our samples include the original periods in which these variables were identified, but end later. More than one-third of these new variables no longer have empirical significance even in-sample. Of those that do, half have poor out-of-sample performance. A small number of variables still perform reasonably well both in-sample and out-of-sample.