Predicting the Equity Premium with Dividend Ratios

DOI10.1287/MNSC.49.5.639.15149zbMath1232.91720OpenAlexW3121542091MaRDI QIDQ3114845

Amit Goyal, Ivo Welch

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.49.5.639.15149

zbMATH Keywords

stock returnsequity premiumout-of-sample predictiondividend yield

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Economic time series analysis (91B84)

Related Items (27)

Approximately normal tests for equal predictive accuracy in nested models ⋮ Using out-of-sample mean squared prediction errors to test the martingale difference hypothesis ⋮ Asymmetries in risk premia, macroeconomic uncertainty and business cycles ⋮ ESTIMATION AND INFERENCE FOR VARYING-COEFFICIENT MODELS WITH NONSTATIONARY REGRESSORS USING PENALIZED SPLINES ⋮ Strategic asset allocation with liabilities: beyond stocks and bonds ⋮ Forecasting stock market returns over multiple time horizons ⋮ Rolling window selection for out-of-sample forecasting with time-varying parameters ⋮ The macroeconomic and fiscal implications of inflation forecast errors ⋮ On empirical likelihood test for predictability ⋮ Stock prices-inflation puzzle and the predictability of stock market returns ⋮ Improved tests for stock return predictability ⋮ Penetrating sporadic return predictability ⋮ Evaluating forecast performance with state dependence ⋮ Stock volatility predictability in bull and bear markets ⋮ Reexamining time-varying bond risk premia in the post-financial crisis era ⋮ Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium ⋮ Detection of structural breaks in a time-varying heteroskedastic regression model ⋮ Does a lot help a lot? Forecasting stock returns with pooling strategies in a data‐rich environment ⋮ Estimating the term structure of commodity market preferences ⋮ A reexamination of stock return predictability ⋮ The Bierens test for certain nonstationary models ⋮ Boosting high dimensional predictive regressions with time varying parameters ⋮ The learning premium ⋮ Portfolio Choice and Estimation Risk. A Comparison of Bayesian to Heuristic Approaches ⋮ Predictive quantile regressions under persistence and conditional heteroskedasticity ⋮ Homogeneous vs. heterogeneous transition functions in panel smooth transition regressions ⋮ Testing for episodic predictability in stock returns

This page was built for publication: Predicting the Equity Premium with Dividend Ratios