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Out-of-sample equity premium prediction in the presence of structural breaks · Study

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ArticleOut-of-sample equity premium prediction in the presence of structural breaks

Anwen Yin2019

Article2019

Out-of-sample equity premium prediction in the presence of structural breaks

19 citations·0/0 files stored·International Review of Financial Analysis

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Financial Markets and Investment Strategies Forecasting Techniques and Applications Financial Risk and Volatility Modeling

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References

1993Tests for Parameter Instability and Structural Change With Unknown Change Point 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 1989Business conditions and expected returns on stocks and bonds 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Dividend yields and expected stock returns 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2006Approximately normal tests for equal predictive accuracy in nested models 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

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2023Inflation, interest rates and the predictability of stock returns

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Year2019

Typearticle

Published2019-09-05

VenueInternational Review of Financial Analysis

ISSN-L1057-5219

Languageen

Citations19

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.irfa.2019.101385

openalex_workW2972017309

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