Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics

DOI10.1093/ROF/RFT061zbMATH Open1405.62144OpenAlexW2084017380MaRDI QIDQ4554723

Satadru Hore

Publication date: 9 November 2018

Published in: Review of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/rof/rft061

zbMATH Keywords

price-dividend ratioaggregate return characteristicspredictability of equity premia

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Related Items (3)

The skewness risk premium in equilibrium and stock return predictability ⋮ Out‐of‐sample equity premium prediction: A scenario analysis approach ⋮ The impact of fat tails on equilibrium rates of return and term premia

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