A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
全面重新检验了文献中提出的预测股票溢价的变量，发现这些模型在样本内和样本外30年来预测效果不佳，不稳定，且无法帮助投资者择时。
Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market. The Author 2007. Published by Oxford University Press on behalf of the Society for Financial Studies. All rights reserved. For permissions, please e-mail: journals.permissions@oxfordjournals.org., Oxford University Press.