Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/306348 
Year of Publication: 
2024
Series/Report no.: 
Bank of Finland Research Discussion Papers No. 10/2024
Publisher: 
Bank of Finland, Helsinki
Abstract: 
This paper explores the out-of-sample forecasting performance of 25 equity premium predictors over a sample period from 1973 to 2023. While conventional time-series methods reveal that only one predictor demonstrates significant out-of-sample predictive power, frequency-domain analysis uncovers additional predictive information hidden in the time series. Nearly half of the predictors exhibit statistically and economically meaningful predictive performance when decomposed into frequency components. The findings suggest that frequency-domain techniques can extract valuable insights that are often missed by traditional methods, enhancing the accuracy of equity premium forecasts.
Subjects: 
equity premium
predictability
frequency domain
JEL: 
C58
G11
G17
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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