Essays about: "historical equity premium"

Showing result 1 - 5 of 8 essays containing the words historical equity premium.

1. 1. Using Machine Learning to Predict Aggregate Excess Returns

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Erik Jonsson; Sebastian Gierlowski Carling; [2021]
   Keywords : Equity premium; Machine learning; Non-linear models; Penalized linear models; Prediction;

   Abstract : In this paper we examine whether standard linear regression and machine learning tools can be used to predict the time series of total returns in excess of the risk-free rate on the S&P500 and FTSE100 indices. We have virtually no success in predicting monthly returns. However, we do have some success in predicting annual returns. READ MORE

3. 2. Machine Learning - The Future of Equity Premium Prediction

   University essay from Handelshögskolan i Stockholm/Institutionen för finansiell ekonomi

   Author : Alfred Hedlund; Ibrahim Mete Bacak; [2020]
   Keywords : Machine learning; Equity premium; Prediction; Penalized linear models; Non-linear models;

   Abstract : Predictions of the equity premium have historically been made by using traditional predictive regressions. Despite the great promise of machine learning applications for prediction tasks, it has largely been overlooked in the financial literature. READ MORE

4. 3. Fixed Income Modeling

   University essay from KTH/Matematisk statistik

   Author : Othmane Chaqchaq; [2017]
   Keywords : ;

   Abstract : Besides financial analysis, quantitative tools play a major role in asset management. By managing the aggregation of large amount of historical and prospective data on different asset classes, it can give portfolio allocation solution with respect to risk and regulatory constraints. READ MORE

5. 4. The effect of Optimism on teh Equity Premium

   University essay from Göteborgs universitet/Institutionen för nationalekonomi med statistik

   Author : Alexander Boukaras; Helena Winje; [2013-03-14]
   Keywords : Behavioral Finance; Equity Risk Premium; Equity Premium Puzzle; Optimism;

   Abstract : The Equity Premium Puzzle highlights the occurrence of historical equity premium being an order of magnitude greater than can be rationalized in the context of the standard paradigm of financial economics. Studies have shown that pessimism may explain this puzzle. READ MORE

6. 5. The Dynamics of Equity Risk Premium : The case of France, Germany, Sweden, United Kingdom and USA

   University essay from IHH, Economics, Finance and Statistics

   Author : Atis Praudins; [2012]
   Keywords : Equity risk premium; equity risk premium puzzle; historical equity premium; implied equity premium; time series analysis; Granger causality;

   Abstract : Equity risk premium is a financial variable that is surrounded by mystery. Starting from the almost 30 year old equity premium puzzle caused by considerations that equity premium values which are observable in past data imply an implausibly high risk aversion to more recent statements that equity premium does not exist anymore. READ MORE