English
Ställ dig i kön
Böckerna... fast inte gratis
10 Strategier Som Slår BörsenSvenska10 Strategier Som Slår Börsen10 Strategies That Beat the MarketEnglish10 Strategies That Beat the MarketProRealTime Coding Made SimpleEnglishProRealTime Coding Made Simple
600+StatistikMarknadsstatistik och edges1,327StrategierBibliotek med testade strategier18ForskningsrapporterStudien bakom algosarna301DokumentationProBuilder-referens27AlgoutvecklingsprogramKurser och lektioner24Allt detta matar de 24 algosarnaSe algosarna

Statistik › Backtesting och bevis › 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

Endast för medlemmar

Resten av den här sidan är för medlemmar

Below this point there are 5 sections and 4 named sources, roughly 800 words of it. Every figure carries the source it came from and the date the data is from.

Du kan fortsätta bläddra i all statistik i biblioteket gratis. Introduktionen och sammanfattningen är alltid öppna.