Equity Risk Premium — Efe Çağlar Çağlı

Understanding the behavior of asset prices is essential in evaluating investment decisions so that practitioners and academics have been investigating what assets are worth and whether asset prices are predictable The degree of stock return predictability is a statistical concept and totally an empirical issue In this study we conduct an empirical application on the equity premium forecastability concept We consider both macroeconomic and technical indicators in order to predict the equity risk premiums of selected thirteen stock markets including Belgium Greece Malaysia Mexico Portugal Spain Taiwan Turkey Brazil Hong Kong India Russia and South Africa Incorporating information from all indicators including domestic and foreign macroeconomic indicators oil price changes and technical indicators provides in sample fitting gains Out of sample forecasting results show that the strategy of combining forecasts provides out of sample gains Portfolio performance analyses suggests following the forecasts generated by the proposed models to obtain positive returns over the buy and hold strategy

Understanding the behavior of asset prices is essential in evaluating investment decisions so that practitioners and academics have been investigating what assets are worth and whether asset prices are predictable The degree of stock return predictability is a statistical concept and totally an empirical issue In this study we conduct an empirical application on the equity premium forecastability concept We consider both macroeconomic and technical indicators in order to predict the equity risk premiums of selected thirteen stock markets including Belgium Greece Malaysia Mexico Portugal Spain Taiwan Turkey Brazil Hong Kong India Russia and South Africa Incorporating information from all indicators including domestic and foreign macroeconomic indicators oil price changes and technical indicators provides in sample fitting gains Out of sample forecasting results show that the strategy of combining forecasts provides out of sample gains Portfolio performance analyses suggests following the forecasts generated by the proposed models to obtain positive returns over the buy and hold strategy

Understanding the behavior of asset prices is essential in evaluating investment decisions so that practitioners and academics have been investigating what assets are worth and whether asset prices are predictable The degree of stock return predictability is a statistical concept and totally an empirical issue In this study we conduct an empirical application on the equity premium forecastability concept We consider both macroeconomic and technical indicators in order to predict the equity risk premiums of selected thirteen stock markets including Belgium Greece Malaysia Mexico Portugal Spain Taiwan Turkey Brazil Hong Kong India Russia and South Africa Incorporating information from all indicators including domestic and foreign macroeconomic indicators oil price changes and technical indicators provides in sample fitting gains Out of sample forecasting results show that the strategy of combining forecasts provides out of sample gains Portfolio performance analyses suggests following the forecasts generated by the proposed models to obtain positive returns over the buy and hold strategy Tanıtım Bülteninden

Understanding the behavior of asset prices is essential in evaluating investment decisions so that practitioners and academics have been investigating what assets are worth and whether asset prices are predictable The degree of stock return predictability is a statistical concept and totally an empirical issue In this study we conduct an empirical application on the equity premium forecastability concept We consider both macroeconomic and technical indicators in order to predict the equity risk premiums of selected thirteen stock markets including Belgium Greece Malaysia Mexico Portugal Spain Taiwan Turkey Brazil Hong Kong India Russia and South Africa Incorporating information from all indicators including domestic and foreign macroeconomic indicators oil price changes and technical indicators provides in sample fitting gains Out of sample forecasting results show that the strategy of combining forecasts provides out of sample gains Portfolio performance analyses suggests following the forecasts generated by the proposed models to obtain positive returns over the buy and hold strategy