Forecasting the equity risk premium: the role of technical indicators. Management Science 60, 1772-1791.Neely, Christopher J., David E. Rapach, Jun Tu, and Guofu Zhou (2014), "Forecasting the equity risk premium: the role of technical indicators." Management Science, 60, 1772- 1791....
profitabilitytrading strategiesAsset allocation is critically dependent on the ability to forecast the equity risk premium (ERP) out-of-sample. But, is superior econometric predictability acrBaltas, NickKaryampas, DimitrisSocial Science Electronic Publishing...
Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the predictive ability of technical indicators with that of ...
(2010) forecasted the equity premium (Welch and Goyal 2008; Turner 2015) by using compound returns on S&P 500 index including dividends and rate on treasury bills and established a link between the forecasted values and real economy. Phan et al. (2015) discussed evidence-based forecasting for ...
The Determinants of the Long-Run Equity Risk Premium One of the anomalies in finance is the equity risk premium in relation to normal risk attitude of financial agents. We address the role of the equity marke... E. Sterken,P. Hullegie,R. Salomons - Macroeconomics eJournal 被引量: 0发...
We decompose the squared VIX index, derived from US S&P500 options prices, into the conditional variance of stock returns and the equity variance premium. ... G Bekaert,M Hoerova - 《Journal of Econometrics》 被引量: 357发表: 2014年 Price volatility, hedging and variable risk premium in th...
In particular, option-implied volatility is always the most powerful predictor. Introduction Undoubtedly, crude oil is a major commodity in the financial market due to its financialization. It is commonly recognized that the oil price uncertainty significantly influences the equity market and economic ...
Claus, J., & Thomas, J. (2001). Equity risk premium as low as three percent? Evidence from analysts’ earnings forecasts for domestic and international stocks.Journal of Finance,56, 1629–1666. ArticleGoogle Scholar Dechow, P. (1994). Accounting earnings and cash flows as measures of firm...
2013), electricity (Ciarreta, Pizarro-Irizar, & Zarraga, 2020) and oil (Nademi & Nademi, 2018); and upon financial instruments, namely options Elliott, Nishide, and Osakwe (2016), bonds (Tamakoshi & Hamori, 2014), futures (N. Taylor, 2019) and equity indices (Pappas et al., 2016)...
Cross-Section of ReturnsEquity PremiumSize PremiumValue PremiumWe present evidence that the stock market return, dividend growth, and consumption growth are ... G Constantinides - 《Social Science Electronic Publishing》 被引量: 94发表: 2010年 Stock returns, dividend yield, and book-to-market ratio...