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Campbell and Thompson Restriction
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Forecasting Methods using Multiple Variables
A short description of the post.
Predictive Regression Forecasts
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Good Predictors of the Equity Premium
Our article comprehensively reexamines the performance of variables that have been suggested by the academic literature to be good predictors of the equity premium. We find that by and large, these models have predicted poorly both in-sample (IS) and out-of-sample (OOS) for 30 years now; these models seem unstable, as diagnosed by their out-of-sample predictions and other statistics; and these models would not have helped an investor with access only to available information to profitably time the market.
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Ao...Aka...Murasaki