Predicting the equity premium around the globe

Comprehensive evidence from a large sample

verfasst von

Fabian Hollstein, Marcel Prokopczuk, Björn Tharann, Chardin Wese Simen

Abstract

Examining 81 countries over a period of up to 145 years and using various predictor variables and forecasting specifications, we provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in developed markets. For all groups, forecast combinations perform very well out of sample. Analyzing the cross-section of countries, we find that market inefficiency is an important driver of return predictability. We also document significant cross-market return predictability. Finally, domestic inflation-adjusted returns are significantly more predictable than USD returns.

Organisationseinheit(en)

Institut für Finanzwirtschaft und Rohstoffmärkte

Externe Organisation(en)

Universität des Saarlandes
University of Reading
The University of Liverpool

Typ

Artikel

Journal

International Journal of Forecasting

Band

41

Seiten

208-228

Anzahl der Seiten

21

ISSN

0169-2070

Publikationsdatum

08.06.2024

Publikationsstatus

Elektronisch veröffentlicht (E-Pub)

Peer-reviewed

Ja

ASJC Scopus Sachgebiete

Betriebswirtschaft und Internationales Management

Elektronische Version(en)

https://doi.org/10.2139/ssrn.3567622 (Zugang: Offen)
https://doi.org/10.1016/j.ijforecast.2024.05.002 (Zugang: Offen)