EconPapers    
Economics at your fingertips  
 

A Comprehensive Look at the Empirical Performance of Equity Premium Prediction

Amit Goyal () and Ivo Welch ()

Yale School of Management Working Papers from Yale School of Management

Abstract: Economists have suggested a whole range of variables that predict the equity premium: dividend price ratios, dividend yields, earnings-price ratios, dividend payout ratios, corporate or net issuing ratios, book-market ratios, beta premia, interest rates (in various guises), and consumption-based macroeconomic ratios (cay). Our paper comprehensively reexamines the performance of these variables, both in-sample and out-of-sample, as of 2005. We find that [a] over the last 30 years, the prediction models have failed both in-sample and out-of-sample; [b] the models are unstable, in that their out-of-sample predictions have performed unexpectedly poorly; [c] the models would not have helped an investor with access only to information available at the time to time the market.

Keywords: Equity Premium; Prediction; Stock Market (search for similar items in EconPapers)
Date: 2004-04-01, Revised 2006-01-01
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (23) Track citations by RSS feed

Downloads: (external link)
http://icfpub.som.yale.edu/publications/2412 (application/pdf)
Our link check indicates that this URL is bad, the error code is: 500 Can't connect to icfpub.som.yale.edu:80 (A connection attempt failed because the connected party did not properly respond after a period of time, or established connection failed because connected host has failed to respond.)

Related works:
Journal Article: A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2008) Downloads
Working Paper: A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (2004) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ysm:somwrk:amz2412

Access Statistics for this paper

More papers in Yale School of Management Working Papers from Yale School of Management Contact information at EDIRC.
Bibliographic data for series maintained by ().

 
Page updated 2020-02-26
Handle: RePEc:ysm:somwrk:amz2412