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Equity Premium Prediction by Sparse Pooling of Parsimonious State-Dependent Models

de Almeida, Daniel - 2018

A large set of macroeconomic variables have been suggested as equity risk premium predictors in the literature. This paper proposes a forecasting approach for the equity risk premium with two novel features. First, individual month-ahead forecasts are obtained from parsimonious threshold...

Persistent link: https://www.econbiz.de/10012913585

Forecast combination in the frequency domain

Faria, Gonçalo; Verona, Fabio - 2023

Predictability is time and frequency dependent. We propose a new forecasting method - forecast combination in the frequency domain - that takes this fact into account. With this method we forecast the equity premium and real GDP growth rate. Combining forecasts in the frequency domain produces...

Persistent link: https://www.econbiz.de/10013485890

Time-frequency Forecast of the Equity Premium

Faria, Gonçalo - 2020

Any time series can be decomposed into cyclical components fluctuating at different frequencies. Accordingly, in this paper we propose a method to forecast the stock market's equity premium which exploits the frequency relationship between the equity premium and several predictor variables. We...

Persistent link: https://www.econbiz.de/10012835434

Forecasting the Equity Risk Premium : The Importance of Regime-Dependent Evaluation

Baltas, Nick - 2020

Asset allocation is critically dependent on the ability to forecast the equity risk premium (ERP) out-of-sample. But, is superior econometric predictability across the business cycle synonymous to predictability at all times? We evaluate recently introduced ERP forecasting models, which have...

Persistent link: https://www.econbiz.de/10012855775

Frequency-domain information for active portfolio management

Faria, Gonçalo; Verona, Fabio - 2020

We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the predictors) with the highest predictive power. The resulting forecasts are more...

Persistent link: https://www.econbiz.de/10012160666

Time-frequency forecast of the equity premium

Faria, Gonçalo; Verona, Fabio - 2020

Persistent link: https://www.econbiz.de/10012208225

Forecasting the Equity Premium with Frequency-Decomposed Technical Indicators

Stein, Tobias - 2020

Technical trading rules are widely used by practitioners to forecast the U.S. equity premium. I decompose technical indicators into components with frequency-specific information, showing that the predictive power comes from medium-frequency variation in buy and sell signals, without much...

Persistent link: https://www.econbiz.de/10012839601

Diverging roads: theory-based vs. machine learning-implied stock risk premia

Grammig, Joachim; Hanenberg, Constantin; Schlag, Christian - 2020

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 …

Persistent link: https://www.econbiz.de/10012163064

Forecasting Government Bond Risk Premia Using Technical Indicators

Goh, Jeremy - 2013

While economic variables have been used extensively to forecast bond risk premia, little attention has been paid to technical indicators which are widely used by practitioners. In this paper, we study the predictive ability of a variety of technical indicators vis-a-vis the economic variables....

Persistent link: https://www.econbiz.de/10013092530

Predicting the Australian equity risk premium

Jurdi, Doureige J. - 2021

This paper examines the predictive performance of a range of financial, economic, and sentiment variables that may predict the Australian All Ordinaries index equity risk premium using data for the last 28 years (1992–2020). The methods employed address a range of potential econometric biases...

Persistent link: https://www.econbiz.de/10013311239