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

Amit Goyal, Ivo Welch and Athanasse Zafirov

The Review of Financial Studies, 2024, vol. 37, issue 11, 3490-3557

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 as of the end of 2021. Our samples include the original periods in which these variables were identified, but end later. More than one-third of these new variables no longer have empirical significance even in-sample. Of those that do, half have poor out-of-sample performance. A small number of variables still perform reasonably well both in-sample and out-of-sample.

Keywords: G10; G12; G14; G17 (search for similar items in EconPapers)
Date: 2024
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