Viewpoint: Estimating the Equity Premium
By John Y. Campbell. 2008
193 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/3e4aae10bb487f5059225202381b932a4777648b
Citations in the corpus
- The Log-Linear Return Approximation, Bubbles, and Predictability (2012, unknown): “Campbell (2008) argues that the log-linear approximation breaks down when δt has a unit root because in that case the unconditional mean does not exist, and he proposes an alternative model that is valid when δt is a random walk, the dividend is known one period in advance, and log return and…”
- Forecasting oil and stock returns with a Qual VAR using over 150 years of data (2017, unknown): “7 Note that instead of relying on an in-sample evaluation of the Qual VAR relative to the other linear models, we pursue a forecasting exercise, since the ultimate test of any variable and/or predictive model is its out-of-sample performance (Campbell, 2008).”
- Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole (2011, unknown): “This implicitly assumes that the dividend-price ratio follows a random walk as Campbell (2008) proposes.”
- Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss (2020, unknown): “Because in-sample predictability does not necessarily ensure out-of-sample forecasting gains, with Campbell (2008) suggesting that the ultimate test of any predictive model is its out-of-sample performance, our paper makes the first attempt to forecast realized oil-price volatility based on metrics…”
- Infectious Diseases, Market Uncertainty and Oil Market Volatility (2020, unknown): “Empirical Results Given that the ultimate test of any predictive model (in terms of the econometric methodologies and predictors employed) is based on its out-of-sample performance [18], we conducted an out-of-sample forecasting exercise as the focus of our analysis.”
- Comparing the forecasting ability of financial conditions indices: The case of South Africa (2018, unknown): “…out-of-sample forecasting, rather than in-sample predictability to determine the economic value of variables and models, have been emphasized at depth by Campbell (2008), with him suggesting that “the ultimate test of any predictive model is its out-of-sample performance” (Campbell, 2008, pp. 2).”