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Unlocking predictive potential: the frequency-domain approach to equity premium forecasting

2025-09-01Research article Embargoed access
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dc.contributor.authorFaria, Gonçalo
dc.contributor.authorVerona, Fabio
dc.date.accessioned2025-09-22T09:12:19Z
dc.date.available2025-09-22T09:12:19Z
dc.date.issued2025-09-01
dc.description.abstractThis paper explores the out-of-sample forecasting performance of 25 equity premium predictors over a sample period from 1973 to 2023. While conventional time-series methods reveal that only one predictor demonstrates significant out-of-sample predictive power, frequency-domain analysis uncovers additional predictive information hidden in the time series. Nearly half of the predictors exhibit statistically and economically meaningful predictive performance when decomposed into frequency components. The findings suggest that frequency-domain techniques can extract valuable insights that are often missed by traditional methods, enhancing the accuracy of equity premium forecasts.eng
dc.identifier.citationFaria, G., & Verona, F. (2025). Unlocking predictive potential: the frequency-domain approach to equity premium forecasting. Journal of Empirical Finance, 83, Article 101648. https://doi.org/10.1016/j.jempfin.2025.101648
dc.identifier.doi10.1016/j.jempfin.2025.101648
dc.identifier.eid105014470882
dc.identifier.issn0927-5398
dc.identifier.other3d63b351-bdbd-4cf3-b927-0abfdec3489f
dc.identifier.urihttp://hdl.handle.net/10400.14/55047
dc.identifier.wos001564282600001
dc.language.isoeng
dc.peerreviewedyes
dc.rights.urihttp://creativecommons.org/licenses/by-nc-nd/4.0/
dc.subjectEquity premium
dc.subjectFrequency domain
dc.subjectPredictability
dc.titleUnlocking predictive potential: the frequency-domain approach to equity premium forecastingeng
dc.typeresearch article
dspace.entity.typePublication
oaire.citation.titleJournal of Empirical Finance
oaire.citation.volume83
oaire.versionhttp://purl.org/coar/version/c_ab4af688f83e57aa

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