文章基本信息

标题：Equity premium prediction: keep it sophisticatedly simple
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作者：Az is Boing Sitanggang ; Andrian Teguh ; Adil Basuki Ahza 等
期刊名称：Quantitative Finance and Economics
电子版ISSN：2573-0134
出版年度：2021
卷号：5
期号：2
页码：264-286
DOI：10.3934/QFE.2021012
语种：English
出版社：AIMS Press
摘要：Following the keep-it-sophisticatedly-simple principle, KISS, we propose using the averaging window approach to forecast the market equity premium in unstable environments. First, the estimation methodology of averaging window is a theoretically justified method robust to uncertainties on structural breaks and estimation window sizes. Second, the averaging window method has the obvious advantages of being understandable to forecast users and simple to implement, thus encouraging engagement and criticism. Our empirical results demonstrate the superior performance of the averaging window when forecasting the U.S. market equity premium, exceeding a wide range of methods which have been shown effective, such as shrinkage estimators and technical indicators.
关键词：equity premium;forecast combination;structural break;averaging window