We assess financial theory-based and machine learning-implied measurements of stock risk premia by comparing the … preferable to rely on a theory-based approach instead of engaging in the computerintensive hyper-parameter tuning of statistical … models. The theory-based approach also delivers a solid performance at the one year horizon, at which only one machine …

/U.K. (1629-1812), U.K. (1813-1870) and U.S. (1871-2015). We show that dividend yields are stationary and consistently forecast …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 …

construct a proxy of the adjustment factor using the sequence of dispersion of analysts earnings forecast. We provide empirical …