Journal
REVIEW OF FINANCIAL STUDIES
Volume 21, Issue 4, Pages 1455-1508Publisher
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhm014
Keywords
-
Categories
Ask authors/readers for more resources
Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market. (JEL G12, G14).
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available