Return Predictability under Equilibrium Constraints on the Equity Premium
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Cited by:
- Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2016.
"Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors,"
Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 52(8), pages 1935-1955, August.
- Rangan Gupta & Mampho P. Modise & Josine Uwilingiye, 2011. "Out-of-Sample Equity Premium Predictability in South Africa: Evidence from a Large Number of Predictors," Working Papers 201122, University of Pretoria, Department of Economics.
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More about this item
Keywords
Return Predictability; Constraints; Out-of-Sample Forecasts;All these keywords.
JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
Statistics
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