Predicting the equity market risk premium: a model selection approach

DOI10.1016/J.ECONLET.2022.110448MaRDI QIDQ2158352zbMATH OpenOpenAlexFDO

Authors Cetin Ciner

Publication date 26 July 2022

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2022.110448

zbMATH Keywords

model selectionforecastingequity market risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

Recommendations

• Maximizing equity market sector predictability in a Bayesian time-varying parameter model
• Stock return predictability: a factor-augmented predictive regression system with shrinkage method
• Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
• A quantile regression approach to equity premium prediction
• Nonparametric prediction of stock returns based on yearly data: the long-term view

Cites work

• Approximately normal tests for equal predictive accuracy in nested models
• Asymptotics for out of sample tests of Granger causality
• Best subset selection via a modern optimization lens
• Best subset, forward stepwise or Lasso? Analysis and recommendations based on extensive comparisons
• In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use?

Cited in

(14)

• Stock return predictability: a factor-augmented predictive regression system with shrinkage method
• Does a lot help a lot? Forecasting stock returns with pooling strategies in a data-rich environment
• How to choose the return model for market risk? Getting towards a right magnitude of stressed VaR
• Comparison of forecasting methods with an application to predicting excess equity premium
• Perpetual learning and stock return predictability
• Measuring short-term risk of initial public offering of equity securities: a hybrid Bayesian and data-envelopment-analysis-based approach
• Score-driven asset pricing: predicting time-varying risk premia based on cross-sectional model performance
• Maximizing equity market sector predictability in a Bayesian time-varying parameter model
• Tail risk and return predictability for the Japanese equity market
• Nonparametric prediction of stock returns based on yearly data: the long-term view
• Crisis impact on stock market predictability
• Forecasting the equity premium: mind the news!
• Evidence for hedge fund predictability from a multivariate Student's \(t\) full-factor GARCH model
• Out‐of‐sample equity premium prediction: A scenario analysis approach

This page was built for publication: Predicting the equity market risk premium: a model selection approach

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2158352)