Previous empirical studies derive the standard equity valuation models (i.e., DDM, RIM, and DCF model) while assuming that ideal conditions, such as infinite payoffs and clean surplus accounting, exist. Because these conditions are rarely met, we extend the standard models by following the...

Standard equity valuation approaches (i.e., DDM, RIM, and DCF model) are derived under the assumption of ideal conditions, such as infinite payoffs and clean surplus accounting. Because these conditions are hardly ever met, we extend the standard approaches, based on the fundamental principle of...

Forecasting the production of photovoltaic (PV) and wind power systems inevitably implies inaccuracies. Therefore, sales made based on forecasts almost always require the vendor to make balancing efforts. In the absence of resources available within their own portfolios, operators can turn...

Portfolio optimization often struggles in realistic out-of-sample contexts. We de-constructthis stylized fact, comparing historical forecasts of portfolio optimization inputs withsubsequent out of sample values. We confirm that historical forecasts are imprecise guidesof subsequent values but...

For a comprehensive set of 21 equity premium predictors we find dramatic disagreement between out-of-sample predictability results depending on the choice of the sample split date. To resolve this issue we propose reporting in graphical form the out-of-sample predictability criteria for every...

Prior literature finds that variables that can forecast market returns in sample do not beat historical averages in forecasting market returns out of sample. We propose a naïve model averaging (NMA) method, which produces mostly positive out-of-sample R2s for the variables that are significant...