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Revisiting equity premium forecasts: applying machine learning and deep learning techniques
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| 4.31 MB | Adobe PDF |
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Resumo(s)
This study re-investigates the relationship between the equity premium and variables, that have been either examined for predictive qualities by the literature or are used by active fund managers at the time of the study, with state-of-the-art machine learning models to uncover potential non-linear relationships. Results show that within the U.S. market, no variable, whether suggested by the literature or by active fund managers, is able to forecast the equity premium. However, it appears as though there is a predictive relationship between European long-term yields and the European equity premium.
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Machine learning Financial markets Deep learning Forecast Equity premia Financial variables