预测全球股票溢价：来自大样本的综合证据

IF 6.9 2区经济学 Q1 ECONOMICS

International Journal of Forecasting Pub Date : 2024-06-08 DOI:10.1016/j.ijforecast.2024.05.002

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

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引用次数: 0

摘要

通过对 81 个国家长达 145 年的研究，并使用各种预测变量和预测规格，我们对股票溢价的可预测性进行了详细分析。我们发现，与发达市场相比，新兴市场和前沿市场的超额收益更具可预测性。对于所有组别，预测组合在样本外的表现都非常好。通过对国家横截面的分析，我们发现市场效率低下是收益率可预测性的一个重要驱动因素。我们还记录了重要的跨市场回报可预测性。最后，国内通货膨胀调整后收益率的可预测性明显高于美元收益率。

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

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.

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来源期刊

International Journal of Forecasting Multiple-

CiteScore

17.10

自引率

11.40%

发文量

189

审稿时长

77 days

期刊介绍： The International Journal of Forecasting is a leading journal in its field that publishes high quality refereed papers. It aims to bridge the gap between theory and practice, making forecasting useful and relevant for decision and policy makers. The journal places strong emphasis on empirical studies, evaluation activities, implementation research, and improving the practice of forecasting. It welcomes various points of view and encourages debate to find solutions to field-related problems. The journal is the official publication of the International Institute of Forecasters (IIF) and is indexed in Sociological Abstracts, Journal of Economic Literature, Statistical Theory and Method Abstracts, INSPEC, Current Contents, UMI Data Courier, RePEc, Academic Journal Guide, CIS, IAOR, and Social Sciences Citation Index.