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| Author: | Polk, C. Thompson, S. Vuolteenaho, T. |
| Title: | Cross-sectional forecasts of the equity premium |
| Journal: | Journal of Financial Economics
2006 : JUL, VOL. 81:1, p. 101-141 |
| Index terms: | capm STOCK MARKETS forecasting risk premium stock returns |
| Language: | eng |
| Abstract: | This article attempts to forecast the equity-premium time series with the cross-sectional price of risk. The authors also present statistical methods in order to test stock-return predictability based on endogenous variables whose shocks are potentially related with stock returns. The results indicate that the cross-sectional price of risk is strongly related to the markets yield measures and predicts equity-premium realizations. |
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