Forecasting the Long-Term Equity Premium for Asset Allocation
研究发现基于横截面全球因子模型（CS-GFM）的长期国家股权溢价预测，在统计和经济上优于常用的时间序列预测模型，能为美国和十一个发达市场的长期资产配置带来显著的效用提升。
Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables are superior, statistically and economically, to forecasts based on time-series prediction models commonly used in academia and practice. CS-GFM equity premium forecasts produce significant utility gains compared to long-term asset allocation strategies based on eighteen commonly used prediction models, consistently across the US and eleven developed equity markets.