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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction

Citations

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Cited by:

  1. Nicolas Hardy & Dimitris Korobilis, 2026. "Generalized Bayesian Composite Quantile Regression with an Application to Equity Premium Forecasting," Working Papers No 04/2026, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
  2. Zhenxiong Li & Xinfeng Ruan & Xingzhi Yao, 2026. "Predicting Market Returns Using Covariance Asymmetry Risk Premium," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 46(2), pages 435-462, February.
  3. Jinbo Cai & Wenze Li & Wenjie Wang, 2025. "Electricity Market Predictability: Virtues of Machine Learning and Links to the Macroeconomy," Papers 2507.07477, arXiv.org.
  4. Zhongjun Qu & Wendun Wang & Xiaomeng Zhang, 2025. "Prediction Intervals for Model Averaging," Papers 2510.16224, arXiv.org.
  5. Somani, Dhanashree & Gupta, Rangan & Karmakar, Sayar & Plakandaras, Vasilios, 2025. "Supply bottlenecks and machine learning forecasting of international stock market volatility," Finance Research Letters, Elsevier, vol. 86(PG).
  6. Fernandes, Marcelo & Paye, Bradley & Roma, Carolina Magda da Silva, 2025. "The equity premium and the disconnect between uncertainty and volatility: A global perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 103(C).
  7. Cao, Sean & Jiang, Wei & Wang, Junbo & Yang, Baozhong, 2024. "From Man vs. Machine to Man + Machine: The art and AI of stock analyses," Journal of Financial Economics, Elsevier, vol. 160(C).
  8. Yannick Hoga & Christian Schulz, 2025. "Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series," Papers 2502.10065, arXiv.org, revised Jun 2025.
  9. Rustam Ibragimov & Jihyun Kim & Anton Skrobotov, 2025. "Robust Cauchy-Based Methods for Predictive Regressions," Papers 2511.09249, arXiv.org, revised Apr 2026.
  10. Wan, Runqing & Xing, Bingxin Ann, 2025. "Can switching between predictive models and the historical average improve bond return predictability?," Finance Research Letters, Elsevier, vol. 75(C).
  11. Nick Taylor, 2026. "Optimal Variance Forecasting in a Trading Context," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(2), pages 733-748, March.
  12. Faria, Gonçalo & Verona, Fabio, 2025. "Unlocking predictive potential: The frequency-domain approach to equity premium forecasting," Journal of Empirical Finance, Elsevier, vol. 83(C).
  13. Jian Chen & Guohao Tang & Guofu Zhou & Wu Zhu, 2025. "ChatGPT and Deepseek: Can They Predict the Stock Market and Macroeconomy?," Papers 2502.10008, arXiv.org.
  14. Guillaume Coqueret & Martial Laguerre, 2025. "Overparametrized models with posterior drift," Papers 2506.23619, arXiv.org, revised May 2026.
  15. Zhang, Han & Xiong, Xiong & Guo, Bin, 2025. "The stock return predictability of treasury bond yield in China," Journal of Empirical Finance, Elsevier, vol. 84(C).
  16. Miguel C. Herculano & Santiago Montoya-Bland'on, 2024. "Probabilistic Targeted Factor Analysis," Papers 2412.06688, arXiv.org, revised Jan 2026.
  17. Yu, Junhong & Ruan, Xinfeng & Fan, Zheqi, 2025. "Merton (1976) implied jump," Journal of Economic Dynamics and Control, Elsevier, vol. 180(C).
  18. Cui, Xudong & Gong, Pu & Liu, Tong, 2025. "The disposition effect and market volatility prediction," International Review of Financial Analysis, Elsevier, vol. 108(PB).
  19. Elmore, Ryan & Strauss, Jack, 2026. "Is complexity virtuous?," Economics Letters, Elsevier, vol. 258(C).
  20. Mykola Babiak & Jozef Barunik & Josef Kurka, 2026. "Skewness Dispersion and Stock Market Returns," Papers 2604.07870, arXiv.org.
  21. Shaobo Li & Ben Sherwood, 2025. "Quantile Predictions for Equity Premium using Penalized Quantile Regression with Consistent Variable Selection across Multiple Quantiles," Papers 2505.16019, arXiv.org.
  22. Sam Astill & David I. Harvey & Stephen J. Leybourne & A. M. Robert Taylor, 2025. "Bonferroni‐Type Tests for Return Predictability With Possibly Trending Predictors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 40(1), pages 37-56, January.
  23. Ting Zhang & Haibin Xie, 2026. "Stock Return Forecasting: A Supervised PCA With Selecting and Scaling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 45(2), pages 547-562, March.
  24. Murphy, Austin & AlSalman, Zeina & Souropanis, Ioannis, 2025. "An investigation into the causes of stock market return deviations from real earnings yields," International Review of Economics & Finance, Elsevier, vol. 102(C).
  25. Matteo Bonato & Rangan Gupta & Christian Pierdzioch, 2024. "Do Shortages Forecast Aggregate and Sectoral U.S. Stock Market Realized Variance? Evidence from a Century of Data," Working Papers 202450, University of Pretoria, Department of Economics.
  26. Roumani, Y.F. & AlSalman, Z. & Murphy, A., 2026. "Effective machine learning estimates of stock market returns using Taylor-rule inputs," Economics Letters, Elsevier, vol. 259(C).
  27. Zhou, Zhiping & Wang, Kai, 2025. "War discourse predicts stock market volatility: A century of evidence," Finance Research Letters, Elsevier, vol. 82(C).
  28. Rongwei Liu & Jin Zheng & John Cartlidge, 2025. "Deep Reinforcement Learning for Optimal Asset Allocation Using DDPG with TiDE," Papers 2508.20103, arXiv.org.
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