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Econometric Evaluation of Stock Market Prediction Regression Models

ECON3208 - Applied Econometric Methods

13 Pages Essays / Projects Year: Pre-2019

This report aims to predict the stock market equity premium while using predictors such as: Dividend-price-ratio, Earnings-price ratio, Dividend-yield ratio, Dividend-payout ratio, Stock variance, Book-to-market ratio, Net equity expansion, Treasury bill rate, Long term yield, Term spread, Default yield spread, Default return spread, Monthly inflation rate. By examining each variable separately, it will allow us to test whether the model is no longer significant as past information reveals they are often unstable. The data is sourced on a monthly basis from a sample from 1927-2011.

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