Equity Premia Predictability in the EuroZone

Nuno Silva ()
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Nuno Silva: GEMF/ Faculty of Economics University of Coimbra, Portugal

No 2013-22, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

Abstract: 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.

Keywords: Internation stock markets; Equity premia predictability; Asset allocation (search for similar items in EconPapers)
JEL-codes: C22 C53 G11 G17 (search for similar items in EconPapers)
Pages: 33 pages
Date: 2013-09
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Published in The Spanish Review of Financial Economics, Volume 13, Issue 2, July–December 2015, Pages 48-56

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Persistent link: https://EconPapers.repec.org/RePEc:gmf:wpaper:2013-22

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