本研究乃運用Welch and Goyal(2008)所提出的1945年至2018年的十二項經濟變數資料去預測股票市場溢酬。首先重新檢驗單一變數的樣本內測試(in-sample test)及樣本外測試(out-of-sample test)的結果，接著透過組合變數模型估計，最後再以模型平均法(Model Averaging)建構新的模型。希望藉由新的建構模型方法，比較不同預測模型的預測能力。實證結果發現，以上所建構的模型，皆無法打敗歷史平均法(historical average method)。

In this paper, I use the twelve economic variables of Welch and Goyal (2008) to predict the stock market premium. First of all, I reexamine the in-sample and out-of-sample test. After that, I establish the combination variable to predict the stock market. Finally, I use the model averaging to establish new models. Empirical results display that, the whole models fail to beat the historical average.

中文參考文獻

1.陳旭昇(2009)，＂時間序列-總體經濟與財務金融與財務金融之應用”，台北:東華書局

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