Predicting the equity premium around the globe: Comprehensive evidence from a large sample

Hollstein, Fabian ORCID: 0000-0002-0838-1544, Prokopczuk, Marcel, Tharann, Björn and Wese Simen, Chardin ORCID: 0000-0003-4119-3024 (2024) Predicting the equity premium around the globe: Comprehensive evidence from a large sample. International Journal of Forecasting.

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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.

Item Type:	Article
Uncontrolled Keywords:	38 Economics, 3801 Applied Economics
Depositing User:	Symplectic Admin
Date Deposited:	25 Jun 2024 10:00
Last Modified:	25 Jun 2024 15:33
DOI:	10.1016/j.ijforecast.2024.05.002
Related URLs:	Publisher
URI:	https://livrepository.liverpool.ac.uk/id/eprint/3182422