Forecasting the Equity Risk Premium: The Role of Technical Indicators
Year of publication: |
2011-04
|
---|---|
Authors: | Neely, Christopher J. ; Rapach, David E. ; Tu, Jun ; Zhou, Guofu |
Institutions: | School of Economics, Singapore Management University |
Subject: | Equity risk premium predictability | Macroeconomic variables | Moving-average rules | Momentum | Volume | Out-of-sample forecasts | Asset allocation | Mean-variance in- vestor | Business cycle | Principal components |
Series: | |
---|---|
Type of publication: | Book / Working Paper |
Notes: | Published in SMU-SKBI CoFie Working Paper Number CoFie-02-2011 44 pages longPages |
Classification: | C53 - Forecasting and Other Model Applications ; c58 ; E32 - Business Fluctuations; Cycles ; G11 - Portfolio Choice ; G12 - Asset Pricing ; G17 - Financial Forecasting |
Source: |
-
Does Debt Ceiling and Government Shutdown Help in Forecasting the US Equity Risk Premium?
Aye, Goodness C., (2014)
-
Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan, (2013)
-
Can Economic Uncertainty, Financial Stress and Consumer Sentiments Predict U.S. Equity Premium?
Gupta, Rangan, (2013)
- More ...
-
Out-of-sample equity premium prediction : economic fundamentals vs. moving-average rules
Neely, Christopher J., (2010)
-
Forecasting the equity risk premium : the role of technical indicators
Neely, Christopher J., (2014)
-
Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules
Neely, Christopher J., (2010)
- More ...