Beating the Average: Equity Premium Variations, Uncertainty, and Liquidity
研究了流动性指标（TED利差）和宏观经济不确定性指标能否在预测美国月度股权溢价时战胜历史平均值，发现这两个指标在不同商业周期中均能提供稳健预测。
This paper contributes to the equity premium prediction literature by studying the performance of rarely or not researched predictors. To do so, we analyze the ability of state‐of‐the‐art liquidity and uncertainty predictors to beat the historical average when forecasting the monthly US equity premium. For this purpose, we apply an out‐of‐sample predictive regression approach to analyze statistical accuracy as well as economic gains of equity premium forecasts. Our findings show that the treasury‐eurodollar (TED) spread, as well as the macroeconomic uncertainty measure, is able to beat the historical average and provide robust predictions in various business cycles. Moreover, these two economic predictors also beat forecasts of a classical time series model.