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

Amit Goyal, Ivo Welch and Athanasse Zafirov
Additional contact information
Athanasse Zafirov: University of California, Los Angeles

No 21-85, Swiss Finance Institute Research Paper Series from Swiss Finance Institute

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.

Keywords: equity premium; prediction; out-of-sample; skepticism (search for similar items in EconPapers)
JEL-codes: G1 G11 G12 (search for similar items in EconPapers)
Pages: 62 pages
Date: 2021-09
New Economics Papers: this item is included in nep-fdg
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Citations: View citations in EconPapers (19)

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Related works:
Journal Article: A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2008)
Working Paper: A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (2006)
Working Paper: A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:chf:rpseri:rp2185

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