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Equity Premia Predictability in the EuroZone

  • Nuno Silva


    (GEMF/ Faculty of Economics University of Coimbra, Portugal)

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    In this paper, we studied the equity premium predictability in eleven EuroZone countries. Besides some traditional predictive variables, we have also chosen two other that, to our knowledge, have never been previously used in this literature: the change in the OECD normalized composite leading indicator and the change in the OECD business confidence indicator. The OECD indicators have shown a good performance, in particular during the early stages of the recent financial crisis. We also computed the utility gains that a mean-variance investor would have obtained, if he has used these forecasting variables, and concluded that, for most countries, the utility gains would have been considerable.

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    Paper provided by GEMF - Faculdade de Economia, Universidade de Coimbra in its series GEMF Working Papers with number 2013-22.

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    Length: 33 pages
    Date of creation: Sep 2013
    Date of revision:
    Handle: RePEc:gmf:wpaper:2013-22.
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