| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w10483
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| 来源ID | Working Paper 10483
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| A Comprehensive Look at the Empirical Performance of Equity Premium Prediction |
| Amit Goval; Ivo Welch
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| 发表日期 | 2004-05-10
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| 出版年 | 2004
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| 语种 | 英语
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| 摘要 | Given the historically high equity premium, is it now a good time to invest in the stock market? Economists have suggested a whole range of variables that investors could or should use to predict: dividend price ratios, dividend yields, earnings-price ratios, dividend payout ratios, net issuing ratios, book-market ratios, interest rates (in various guises), and consumption-based macroeconomic ratios (cay). The typical paper reports that the variable predicted well in an *in-sample* regression, implying forecasting ability. Our paper explores the *out-of-sample* performance of these variables, and finds that not a single one would have helped a real-world investor outpredicting the then-prevailing historical equity premium mean. Most would have outright hurt. Therefore, we find that, for all practical purposes, the equity premium has not been predictable, and any belief about whether the stock market is now too high or too low has to be based on theoretical prior, not on the empirically variables we have explored. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
|
| URL | https://www.nber.org/papers/w10483
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/568112
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推荐引用方式
GB/T 7714 |
Amit Goval,Ivo Welch. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. 2004.
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文件名：
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w10483.pdf
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格式：
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Adobe PDF
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