Browsing BI Open by Author "Meshcheriakov, Georgii"

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Cape vs the fed model: comparative analysis of the out-of-sample performance in predicting future stock returns

Poluianova, Marina; Meshcheriakov, Georgii (Master thesis, 2017)

The goal of this thesis is to compare the out-of-sample performance in predicting future stock returns of the Fed model and Shiller's cyclically adjusted price-to-earnings ratio (CAPE). The two models are also augmented with ...