Forecasting the Equity Premium: Where We Stand Today

Abstract

The Review of Financial Studies has among its missions the facilitation and promotion of a vigorous academic debate across unsettled questions in finance. This issue represents a cross section of views regarding one such debate: Can ourempirical models accurately forecast the equity premium any better than the historical mean? Or, is the forecast our empirical models give us any more accurate than what we would get by simply using the historical mean?