Haku
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The equity risk premium and the low frequency of the term spread
(03.04.2018)
Bank of Finland Research Discussion Papers 7/2018
Bank of Finland Research Discussion Papers 7/2018
We extract cycles in the term spread (TMS) and study their role for predicting the equity risk premium (ERP) using linear models. The low frequency component of the TMS is a strong and robust out-of-sample ERP predictor. ...
Frequency-domain information for active portfolio management
(09.01.2020)
Bank of Finland Research Discussion Papers 2/2020
Bank of Finland Research Discussion Papers 2/2020
We assess the benefits of using frequency-domain information for active portfolio management. To do so, we forecast the bond risk premium and equity risk premium using a methodology that isolates frequencies (of the ...