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

Author

Listed:
  • Amit Goyal

    (University of Lausanne; Swiss Finance Institute)

  • Ivo Welch

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

  • Athanasse Zafirov

    (University of California, Los Angeles)

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.

Suggested Citation

  • Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
    • Handle: RePEc:chf:rpseri:rp2185
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    equity premium; prediction; out-of-sample; skepticism;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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