Revisiting equity premium forecasts: applying machine learning and deep learning techniques
Year: 2021
Type: dissertation
Abstract: 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.
Author: Gabriel, Korbinian
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7005640638