Predicting Stock Market Returns and Volatility
August 10, 2012 - Equity Premium, Volatility Effects
How should investors view the predictability of stock market returns and volatility? In sections 5 and 6 of the July 2012 version of his draft chapter entitled “Equity Market Level”, Andrew Ang examines the predictability of the equity risk premium and equity market volatility. He also addresses the exploitability of any predictive power found. Using both theoretical arguments and empirical tests based on long-run data through December 2011, he concludes that: Keep Reading