This paper examines the evidence regarding predictability in the market risk premium using artificial neural networks … paper is the inclusion of the South African market risk premium to the forecasting exercise and its direct comparison with … US forecasting results. The market risk premium is defined as the expected rate of return on the market portfolio in …

-release analyst uncertainty. The median analyst forecast from Bloomberg anticipates over 80% of the monthly variation in the payroll …. Analyst forecast dispersion tends to increase following large forecast errors indicating that when the announced figure is far …

-switching models, and forecast combination to predict the dynamics in the S&P 500. First, we aggregate the weekly information of 115 … as predictors. Third, we pool the forecasts in clusters to hedge against model risk and to evaluate the usefulness of …, and reducing tail risk. Using the same approach for return forecasts, however, does not lead to a consistent …

both in-sample and out-of-sample; 2) the predictability of US stock returns can be traced back to both time-varying risk …