Nº 21-85: A Comprehensive 2022 Look at the Empirical Performance of Equity Premium Prediction II

Our paper reexamines whether 29 variables from 26 papers published after Goyal and Welch (2008), as well as the original 17 variables, were useful in predicting the equity premium in-sample and out-of-sample. Our samples include the original periods in which these variables were identified, but end in 2021. Much of the extant literature seems obsolete, with a majority of variables no longer having empirical support even in-sample. A small number still perform reasonably well.