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Forecasting the equity risk premium: The importance of regime-dependent evaluation
16 references·3 citing·43 second hopsampled
Forecasting the equity risk premium: The importance of regime-dependent evaluation (2017)Forecasting the equity risk premium: The …On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills (2015)On Market Timing and Investme…Presidential Address: Discount Rates (2011)Presidential Address: Discoun…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Expected Stock Returns and Variance Risk Premia (2009)Expected Stock Returns and Va…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…The Adaptive Markets Hypothesis (2004)The Adaptive Markets Hypothes…Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps (2003)Risk Reduction in Large Portf…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Costly Search and Mutual Fund Flows (1998)Costly Search and Mutual Fund…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …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 …On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills (1981)On Market Timing and Investme…Out-of-sample equity premium prediction in the presence of structural breaks (2019)Out-of-sample equity premium …Forecasting U.S. stock returns (2018)Forecasting U.S. stock returnsTrading the Foreign Exchange Market with Technical Analysis and Bayesian Statistics (2017)Trading the Foreign Exchange …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)Market Integration and Contagion (2005)MODELLING ASYMMETRIC EXCHANGE RATE DEPENDENCE* (2006)How Sovereign Is Sovereign Credit Risk? (2011)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)Efficient Capital Markets: II (1991)Editor's Choice Digesting Anomalies: An Investment ApproachCommon risk factors in the returns on stocks and bonds (1993)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)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)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)To Explain or to Predict? (2010)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Risk, Return, and Equilibrium: Empirical Tests (1973)On Persistence in Mutual Fund Performance (1997)Mutual Fund Flows and Performance in Rational Markets (2004)Private Equity Performance: Returns, Persistence, and Capital Flows (2005)Household Finance (2006)Prospect Theory: An Analysis of Decision under Risk (1979)Prospect theory: An analysis of decision under risk (1988)Institutional Investors and the Informational Efficiency of Prices (2009)Sustainable Development and Financial Markets (2015)Machine learning techniques and data for stock market forecasting: A literature review (2022)Macroeconomic Forecasting Using Diffusion Indexes (2002)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Policy Uncertainty and Corporate Investment (2015)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 1998Costly Search and Mutual Fund Flows3,217 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,443 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 2004The Adaptive Markets Hypothesis1,846 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 2009Expected Stock Returns and Variance Risk Premia1,776 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps1,471 cited
  • 1981On Market Timing and Investment Performance. II. Statistical Procedures for Evaluating Forecasting Skills1,321 cited
  • 2006Stock Return Predictability: Is it There?

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1,295 cited
  • 2015On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills1,206 cited
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    • 2018Forecasting U.S. stock returns21 cited
    • 2019Out-of-sample equity premium prediction in the presence of structural breaks19 cited
    • 2017Trading the Foreign Exchange Market with Technical Analysis and Bayesian Statistics17 cited