In this paper, we propose novel predictor variables for forecasting stock market returns. We investigate the predictive power of the demand for gold coins and bars as a proxy for the risk premium consistent with the safe haven property of gold. The gold demand variables reflect the behaviour of...

Equity premium forecasts are usually benchmarked against a historical mean computed from the start of the sample used in a paper. I show that this benchmark tends to be less stringent than a mean computed over the entire available return history. A replication analysis of a widely cited paper...

This paper reappraises the usefulness of forecast combination for predicting the US equity premium. For comparison, we also include penalized regression and dimension reduction approaches. We fail to find evidence of predictive ability in recent decades, regardless of the forecasting method...

The economic gains from using equity premium forecasts are usually assessed by comparing a forecast-based strategy to a strategy based on the trailing historical mean. Whether these economic gains are statistically significant remains mostly untested. This paper shows that a buy-and-hold...