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Statistik › Backtesting und Belege › Predicting the premium

Eighteen of twenty equity premium predictors have a negative out of sample R squared

Stock variance
-27.14%
Long term return
-11.79%
Long term yield
-7.72%
Net equity issuance
-5.07%
Dividend payout ratio
-4.33%
Inflation
-4.07%
T-bill rate
-3.37%
Default yield spread
-3.29%
Term spread
-2.42%
Dividend price ratio
-2.06%
Earnings price ratio
-1.78%
Book to market
-1.72%
Equity share of new issues
2.04%

Out of sample R squared for annual equity premium forecasts against a rolling historical mean benchmark, S&P 500 data to 2005. A negative value means the predictor forecast worse than simply using the average return so far. The kitchen sink model combining everything scores minus 139.03% and is omitted from the chart for scale.

Of twenty annual predictors of the equity premium, eighteen have a negative out of sample R squared. The 2024 update tests twenty nine newer variables and finds more than a third no longer significant even in sample, and half the rest poor out of sample.

18 of 20Annual predictors with a negative out of sample R squared
-139.03%Out of sample R squared of the kitchen sink model
-27.14%The same for stock variance
A small numberNewer variables from the 2024 update that work both ways

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