A comprehensive look at the empirical performance of equity premium prediction

• 成果类型: Article
• 署名作者: Welch, Ivo; Goyal, Amit
• 署名单位: Emory University; National Bureau of Economic Research; Brown University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhm014
• 发表日期: 2008
• 页码: 1455
• 关键词: BOOK-TO-MARKET; stock returns; Expected returns; dividend yields; exchange-rates; predictability; inflation; fundamentals; regressions; ratios

摘要

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. (JEL G12, G14).