SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?
16 references·16 citing·39 second hopsampled
Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? (2005)Predicting the Equity Premium Out of Samp…The Econometrics of Financial Markets (2012)The Econometrics of Financial…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Tests of Conditional Predictive Ability (2006)Tests of Conditional Predicti…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…The Econometrics of Financial Markets (1997)The Econometrics of Financial…Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Quasi-maximum likelihood esti…Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model (1990)Modelling the Coherence in Sh…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news (2021)A picture is worth a thousand…Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach (2017)Revisiting the oil price and …Economic Policy Uncertainty in China and Stock Market Expected Returns (2016)Economic Policy Uncertainty i…Stock return predictability and determinants of predictability and profits (2015)Stock return predictability a…Are Indian stock returns predictable? (2015)Are Indian stock returns pred…Complete subset regressions (2013)Complete subset regressionsForecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Forecasting the Equity Risk P…Predictive Regressions with Time-Varying Coefficients (2009)Predictive Regressions with T…International Stock Return Predictability: What is the Role of the United States? (2009)International Stock Return Pr…Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole (2009)Forecasting Stock Market Retu…Detecting and Predicting Forecast Breakdowns (2009)Detecting and Predicting Fore…The Worldwide Equity Premium: A Smaller Puzzle (2008)The Worldwide Equity Premium:…Strategic asset allocation with liabilities: Beyond stocks and bonds (2008)Strategic asset allocation wi…On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods (2008)On the Reversal of Return and…Institutional Portfolio Flows and International Investments (2008)Institutional Portfolio Flows…The Empirical Risk-Return Relation: A Factor Analysis Approach (2005)The Empirical Risk-Return Rel…Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Expected stock returns and volatility (1987)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)ARCH modeling in finance (1992)Multivariate Simultaneous Generalized ARCH (1995)A Capital Asset Pricing Model with Time-Varying Covariances (1988)Dynamic Conditional Correlation (2002)Introductory Econometrics for Finance (2008)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Common risk factors in the returns on stocks and bonds (1993)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)A five-factor asset pricing model (2014)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Empirical Asset Pricing via Machine Learning (2020)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)
this work references cited by second hop· second hop is a sample of the most-cited connections

References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1997The Econometrics of Financial Markets5,007 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1990Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model3,519 cited
  • 1992Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances3,220 cited
  • 1977Asset returns and inflation2,701 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2006Tests of Conditional Predictive Ability1,667 cited
  • Cited by

    • 2017Revisiting the oil price and stock market nexus: A nonlinear Panel ARDL approach344 cited
    • 2016Economic Policy Uncertainty in China and Stock Market Expected Returns262 cited
    • 2008The Worldwide Equity Premium: A Smaller Puzzle251 cited
    • 2008Institutional Portfolio Flows and International Investments244 cited
    • 2008Strategic asset allocation with liabilities: Beyond stocks and bonds244 cited
    • 2008On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods230 cited
    • 2021A picture is worth a thousand words: Measuring investor sentiment by combining machine learning and photos from news214 cited
    • 2013Complete subset regressions211 cited
    • 2011Forecasting the Equity Risk Premium: The Role of Technical Indicators189 cited
    • 2009Detecting and Predicting Forecast Breakdowns181 cited
    • 2015Stock return predictability and determinants of predictability and profits175 cited
    • 2005The Empirical Risk-Return Relation: A Factor Analysis Approach171 cited
    • 2009International Stock Return Predictability: What is the Role of the United States?165 cited
    • 2009Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole158 cited
    • 2009Predictive Regressions with Time-Varying Coefficients149 cited
    • 2015Are Indian stock returns predictable?141 cited