Purpose – In recent years, equity premiums have been unusually large and efforts to forecast them have been largely unsuccessful. This paper presents evidence suggesting that artificial neural networks (ANNs) outperform traditional statistical methods and can forecast equity premiums...

This study explores whether market sentiment is significantly related to equity premium levels using the Artificial Neural Network (ANN) framework with both the Conference Board CCI and the Michigan Consumer Sentiment Index (CSI) as market sentiment proxies. Contrary to several studies, our...

This study explores whether market sentiment is significantly related to equity premium levels using the Artificial Neural Network (ANN) framework with both the Conference Board CCI and the Michigan Consumer Sentiment Index (CSI) as market sentiment proxies. Contrary to several studies, our...

This paper presents evidence suggesting that artificial neural networks approach (ANNs) outperform traditional statistical methods and can forecast equity premiums reasonably well. The study replicates out-of-sample estimates of regression using ANN with economic fundamentals as inputs. The...