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A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction

Author

Listed:
  • Amit Goyal
  • Ivo Welch
  • Athanasse Zafirov

Abstract

Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch 2008, as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample as of the end of 2021. Our samples include the original periods in which these variables were identified, but end later. More than one-third of these new variables no longer have empirical significance even in-sample. Of those that do, half have poor out-of-sample performance. A small number of variables still perform reasonably well both in-sample and out-of-sample.

Suggested Citation

  • Amit Goyal & Ivo Welch & Athanasse Zafirov, 2024. "A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction," The Review of Financial Studies, Society for Financial Studies, vol. 37(11), pages 3490-3557.
    • Handle: RePEc:oup:rfinst:v:37:y:2024:i:11:p:3490-3557.
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    File URL: http://hdl.handle.net/10.1093/rfs/hhae044
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    More about this item

    Keywords

    G10; G12; G14; G17;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation

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