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- W4313479078 abstract "We examine the role of information from the options market in forecasting the equity premium. We provide evidence that the equity premium is predictable out-of-sample using a set of CBOE strategy benchmark indices as predictors. We use a range of econometric approaches to generate point, quantile, and density forecasts of the equity premium. We find that models based on option variables consistently outperform the historical average benchmark. In addition to statistical gains, using option predictors results in substantial economic benefits for a mean–variance investor, delivering up to a fivefold increase in certainty equivalent returns over the benchmark during the 1996–2021 sample period." @default.
- W4313479078 created "2023-01-06" @default.
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- W4313479078 date "2023-06-01" @default.
- W4313479078 modified "2023-09-26" @default.
- W4313479078 title "Equity premium prediction: The role of information from the options market" @default.
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- W4313479078 doi "https://doi.org/10.1016/j.finmar.2022.100801" @default.
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