Predicting the Equity Premium with Combination Forecasts: A Reappraisal
重新评估组合预测在预测美国股权溢价中的有效性，发现近几十年无论使用何种预测方法，均无证据表明其有预测能力，且个体预测误差相关性上升是组合预测表现下降的重要原因。
Abstract This paper reappraises the usefulness of combining individual forecasts for predicting the U.S. equity premium. For comparison, we also consider penalized regression and dimension reduction approaches. We fail to find evidence of predictive ability in recent decades, regardless of the forecasting method used. Further analysis shows that an increase in the correlation of individual forecast errors is an important factor in the declining performance of combination forecasts.