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- W2617360423 abstract "We analyze the performance of a comprehensive set of equity premium forecasting strategies. All strategies were found to outperform the mean in previous academic publications. However, using a multiple testing framework to account for data snooping, our findings support Welch and Goyal (2008) in that almost all equity premium forecasts fail to beat the mean out-of-sample. Only few forecasting strategies that are based on Ferreira and Santa-Clara’s (2011) “sum-of-the-parts” approach generate robust and statistically significant economic gains relative to the historical mean even after controlling for data snooping and accounting for transaction costs." @default.
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- W2617360423 date "2017-01-01" @default.
- W2617360423 modified "2023-09-23" @default.
- W2617360423 title "Data Snooping in Equity Premium Prediction" @default.
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- W2617360423 doi "https://doi.org/10.2139/ssrn.2972011" @default.
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