scholarly journals Forecasting the Equity Risk Premium: The Role of Technical Indicators

2011 ◽  
Author(s):  
Christopher J. Neely ◽  
David Rapach ◽  
Jun Tu ◽  
Guofu Zhou
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Technical Indicators ◽  
Equity Risk

scholarly journals Forecasting the Equity Risk Premium: The Role of Technical Indicators

2011 ◽  
Author(s):  
Christopher J. Neely ◽  
David E. Rapach ◽  
Jun Tu ◽  
Guofu Zhou
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Technical Indicators ◽  
Equity Risk

scholarly journals Forecasting The Equity Risk Premium: The Role Of Technical Indicators,

2010 ◽  
Author(s):  
Christopher J. Neely ◽  
Guofu Zhou ◽  
David E. Rapach ◽  
Jun Tu
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Technical Indicators ◽  
Equity Risk

scholarly journals Forecasting the Equity Risk Premium: The Role of Technical Indicators

2014 ◽  
Vol 60 (7) ◽  
pp. 1772-1791 ◽  
Author(s):  
Christopher J. Neely ◽  
David E. Rapach ◽  
Jun Tu ◽  
Guofu Zhou
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Technical Indicators ◽  
Equity Risk

scholarly journals On the Timing and Pricing of Dividends: Comment

2016 ◽  
Vol 106 (10) ◽  
pp. 3185-3223 ◽  
Author(s):  
Florian Schulz
Keyword(s):  
Term Structure ◽  
Risk Premium ◽  
Risk Premia ◽  
Equity Returns ◽  
Equity Risk Premium ◽  
Short Term ◽  
Equity Risk ◽  
Market Portfolio ◽  
Show Evidence

I present novel empirical evidence on the term structure of the equity risk premium. In contrast to previous research that documented high discount rates for the short-term component of the market portfolio, I show evidence for an unconditionally flat term structure of equity risk premia. The tension with previous literature arises largely as a result of differential treatments of heterogeneous investment taxes, manifested in micro evidence on abnormal equity returns on ex-dividend days, and liquidity. The results not only help resolve an important recent “puzzle” but provide further important insights on the role of investment taxes in asset pricing. (JEL G11, G12, G35)

scholarly journals Do Macro-Economic and Technical Indicators Matter?- a Principal Component Analysis Approach for Equity Risk Premium Prediction

2017 ◽  
Vol 9 (1) ◽  
pp. 46
Author(s):  
Naveed Ul Hassan ◽  
Bilal Aziz ◽  
Maryam Mushtaq
Keyword(s):  
Risk Premium ◽  
Principal Component ◽  
Relative Strength ◽  
Economic Research ◽  
National Bureau ◽  
Equity Risk Premium ◽  
Economic Market ◽  
Economic Variables ◽  
Technical Indicators ◽  
Equity Risk

Equity risk premium contains the property of reflecting the fundamental judgments of individuals regarding risk that might exists in the economic market and the price associated with that risk. For ERP forecasting, attention is also devoted to technical indicators apart from the macro-economic variables. A set of 14 technical and 14 macro-economic variables is selected for this purpose and based on a standard predictive regression framework; all forecasts are generated by regressing ERP on a constant and a lag of macro-economic or technical indicator. It is found that as compared to macro-economic variables technical indicators provide better indications about ERP estimates. By using National Bureau of Economic Research (NBER) data of business cycle expansion and recessions, relative strength of ERP predictability is also investigated and it is found more than twice for recessions as compare to expansions.

Determining the Equity Risk Premium

2002 ◽  
Vol 2002 (3) ◽  
pp. 37-48 ◽  
Author(s):  
Peter L. Bernstein
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk

The Portuguese Equity Risk Premium

2004 ◽  
Author(s):  
Rui M. Alpalhão ◽  
Paulo F. Pereira Alves
Keyword(s):  
Risk Premium ◽  
Equity Risk Premium ◽  
Equity Risk
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