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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction
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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction (2021)A Comprehensive 2022 Look at the Empirica…Integración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…Does Academic Research Destroy Stock Return Predictability? (2015)Does Academic Research Destro…… and the Cross-Section of Expected Returns (2015)… and the Cross-Section of Ex…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…Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)Optimal Versus Naive Diversif…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 Equity Share in New Issues and Aggregate Stock Returns (2000)The Equity Share in New Issue…Comparing Predictive Accuracy (1995)Comparing Predictive AccuracyBusiness conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…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)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)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)Efficient Capital Markets: II (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Investor Psychology and Asset Pricing (2001)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)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)PORTFOLIO SELECTION* (1952)Common risk factors in the returns on stocks and bonds (1993)On Persistence in Mutual Fund Performance (1997)Robust performance hypothesis testing with the Sharpe ratio (2008)A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms (2009)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)The short of it: Investor sentiment and anomalies (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Efficient Market Hypothesis and Its Critics (2003)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)Policy Uncertainty and Corporate Investment (2015)Testing the equality of prediction mean squared errors (1997)Deep learning with long short-term memory networks for financial market predictions (2017)
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References

  • 1995Comparing Predictive Accuracy5,214 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
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1977Asset returns and inflation2,701 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2015… and the Cross-Section of Expected Returns2,112 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
  • 2006Tests of Conditional Predictive Ability1,667 cited
  • 2015Does Academic Research Destroy Stock Return Predictability?1,563 cited

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  • 2000The Equity Share in New Issues and Aggregate Stock Returns1,183 cited
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