Forecasting the equity risk premium: The role of technical indicators

• Main Authors: Neely, Christopher J., Rapach, David E., TU, Jun, Zhou, Guofu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2014
• Subjects: equity risk premium predictability; macroeconomic variables; moving-average rules; momentum; volume; sentiment; out-of-sample forecasts; asset allocation; business cycle; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/3063; https://ink.library.smu.edu.sg/context/lkcsb_research/article/4062/viewcontent/NeelyRapachTuZhou_2013_ForecastingEquityRiskPremiumTechInd_PP.pdf
• Institution: Singapore Management University

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...