Daily Archives: Jul 16, 2021 at 06:30 pm EDT

Research Review | 16 July 2021 | Forecasting

Forecasting the Long-Term Equity Premium for Asset Allocation
Athanasios Sakkas (U. of Nottingham) and Nikolaos Tessaromatis (EDHEC)
July 12, 2021
Long-term country equity premium forecasts based on a cross-sectional global factor model (CS-GFM), where factors represent compensation for risks proxied by valuation and financial variables, are superior, statistically and economically, from forecasts based on time-series prediction models commonly used in academia and practice. CS-GFM equity premium forecasts produce significant utility gains compared to long-term asset allocation strategies based on eighteen commonly used prediction models, consistently across the US and ten developed equity markets.

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Macro Briefing: 16 July 2021

* Catastrophic flooding in Germany has killed at least 93 people
* US set to warn companies about Hong Kong’s ‘deteriorating’ situation, Biden says
* Treasury Sec. Yellen expects ‘several more months of rapid inflation’
* Yields are low despite high inflation due to liquidity, says bond manager
* Corporate debt ratings upgraded at brisk pace as economy recovers
* US industrial output rose in June but mfg component slipped
* US import prices post another strong gain in June
* The auto market is hot as shortage of computer chips limit supply
* NY Fed Mfg Index surges to record high in July
* US jobless claims fell to a new pandemic low last week: