Generalized financial ratios to predict the equity premium
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DOI: 10.1016/j.econmod.2017.07.009
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Cited by:
- Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
- Jonathan A. Batten & Harald Kinateder & Niklas Wagner, 2022. "Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity," Abacus, Accounting Foundation, University of Sydney, vol. 58(3), pages 567-588, September.
- McMillan, David G., 2019. "Stock return predictability: Using the cyclical component of the price ratio," Research in International Business and Finance, Elsevier, vol. 48(C), pages 228-242.
- repec:zbw:bofrdp:2018_007 is not listed on IDEAS
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More about this item
Keywords
Equity premium; ERP; Forecast combination; Price-dividend ratio; Financial ratios; Time-varying parameters;All these keywords.
JEL classification:
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
Statistics
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