Details
| Original language | English |
|---|---|
| Pages (from-to) | 208-228 |
| Number of pages | 21 |
| Journal | International Journal of Forecasting |
| Volume | 41 |
| Issue number | 1 |
| Publication status | E-pub ahead of print - 8 Jun 2024 |
Abstract
Examining 81 countries over a period of up to 145 years and using various predictor variables and forecasting specifications, we provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in developed markets. For all groups, forecast combinations perform very well out of sample. Analyzing the cross-section of countries, we find that market inefficiency is an important driver of return predictability. We also document significant cross-market return predictability. Finally, domestic inflation-adjusted returns are significantly more predictable than USD returns.
Keywords
- Cross-market return predictability, International equity premium, Market development, Market efficiency, Return predictability
ASJC Scopus subject areas
- Business, Management and Accounting(all)
- Business and International Management
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In: International Journal of Forecasting, Vol. 41, No. 1, 08.06.2024, p. 208-228.
Research output: Contribution to journal › Article › Research › peer review
}
TY - JOUR
T1 - Predicting the equity premium around the globe
T2 - Comprehensive evidence from a large sample
AU - Hollstein, Fabian
AU - Prokopczuk, Marcel
AU - Tharann, Björn
AU - Wese Simen, Chardin
N1 - Publisher Copyright: © 2024 The Author(s)
PY - 2024/6/8
Y1 - 2024/6/8
N2 - Examining 81 countries over a period of up to 145 years and using various predictor variables and forecasting specifications, we provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in developed markets. For all groups, forecast combinations perform very well out of sample. Analyzing the cross-section of countries, we find that market inefficiency is an important driver of return predictability. We also document significant cross-market return predictability. Finally, domestic inflation-adjusted returns are significantly more predictable than USD returns.
AB - Examining 81 countries over a period of up to 145 years and using various predictor variables and forecasting specifications, we provide a detailed analysis of equity premium predictability. We find that excess returns are more predictable in emerging and frontier markets than in developed markets. For all groups, forecast combinations perform very well out of sample. Analyzing the cross-section of countries, we find that market inefficiency is an important driver of return predictability. We also document significant cross-market return predictability. Finally, domestic inflation-adjusted returns are significantly more predictable than USD returns.
KW - Cross-market return predictability
KW - International equity premium
KW - Market development
KW - Market efficiency
KW - Return predictability
UR - http://www.scopus.com/inward/record.url?scp=85195295294&partnerID=8YFLogxK
U2 - 10.2139/ssrn.3567622
DO - 10.2139/ssrn.3567622
M3 - Article
AN - SCOPUS:85195295294
VL - 41
SP - 208
EP - 228
JO - International Journal of Forecasting
JF - International Journal of Forecasting
SN - 0169-2070
IS - 1
ER -