Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics

DOI10.1093/ROF/RFT061MaRDI QIDQ4554723zbMATH OpenOpenAlexFDO

Authors Satadru Hore

Publication date 9 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rft061

zbMATH Keywords

aggregate return characteristicspredictability of equity premiaprice-dividend ratio

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(4)

• The impact of fat tails on equilibrium rates of return and term premia
• The term structure of equity premia and the macroeconomy: some results
• The skewness risk premium in equilibrium and stock return predictability
• Out‐of‐sample equity premium prediction: A scenario analysis approach

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