… In addition, we assess the cyclical variation of equity premium predictions around another
cycle: the financial cycle. Following Claessens et al. (2012), we use data on aggregate credit …

… We analyze the performance of a comprehensive set of equity premium forecasting strategies.
… ) in that almost all equity premium forecasts fail to beat the mean out-of-sample. Only few …

… techniques to forecast the direction of the US equity premium. … Our empirical analysis reveals
that the sophisticated … the benchmark binary probit forecasting models, both statistically and …

… approach to equity premium forecasting by employing predictive quantile regression models
(Koenker and Bassett Citation1978) and incorporating the complete subset combination …

… to predict monthly equity … empirical results indicate that geopolitical news are at times more
valuable than economic news to predict the equity premium and we also find that forecasting …

… flows are exogenously specified to fit the equity premium, the main challenge facing general
… risk premiums in bad times, giving rise to time series predictability of the equity premium …

… We assume a relationship between the equity premium, y t , and a single predictor
variable 1 x t that can be described by the following data-generating process (DGP): …

… On average, economists forecast an average annual risk premium (arithmetic) of about 7%
for a ten-year time horizon and 67% for one to five-year time horizons. As with the other …

… predicts the aggregate equity premium at return horizons well … We regress the equity premium
on the individual lagged … IVS is a significant predictor of the market risk premium for up to …

… of oil price returns can predict the aggregate stock market returns. Empirical results indicate
the … for out-of-sample performance. We add the skewness of oil price returns as an additional …