What is the Chance that the Equity Premium Varies over Time? Evidence from Predictive Regressions
---- Acknowledgements -----
We are grateful to Sean Campbell, Mark Fisher, Michael Johannes, Matthew Pritsker, Robert Stambaugh, Stijn van Nieuwerburgh, Jonathan Wright, Moto Yogo, Hao Zhou and seminar participants at the 2008 meetings of the American Finance Association, the 2007 CIRANO Financial Econometrics Conference, the 2007 Winter Meeting of the Econometric Society, the 2010 Federal Reserve Conference on Financial Markets, the Federal Reserve Board, the University of California at Berkeley and the Wharton School for helpful comments. We are grateful for financial support from the Aronson+Johnson+Ortiz fellowship through the Rodney L. White Center for Financial Research. This manuscript does not reflect the views of the Board of Governors of the Federal Reserve System or those of the National Bureau of Economic Research.