Forecasting the Equity Risk Premium: The Role of Technical Indicators

• Published in: Management science Vol. 60; no. 7; pp. 1772 - 1791
• Main Authors: Neely, Christopher J., Rapach, David E., Tu, Jun, Zhou, Guofu
• Format: Journal Article
• Language: English
• Published: Linthicum INFORMS 01.07.2014; Institute for Operations Research and the Management Sciences
• Subjects: Analysis; Arithmetic mean; Asset allocation; business cycle; Business cycles; Economic indicators; Economic recessions; Equity; Equity (Finance); equity risk premium predictability; Forecasting; Forecasting models; Forecasts; Forecasts and trends; Indicators; Investors; Macroeconomic modeling; macroeconomic variables; Macroeconomics; Management science; momentum; moving averages; out-of-sample forecasts; Risk; Risk exposure; Risk premiums; Securities markets; sentiment; Statistical forecasts; Studies; U.S.A; volume; United States; United States > US

Academic research relies extensively on macroeconomic variables to forecast the U.S. equity risk premium, with relatively little attention paid to the technical indicators widely employed by practitioners. Our paper fills this gap by comparing the predictive ability of technical indicators with that...