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Two Relevant Forecasting Problems for Practitioners in Finance: Equity Risk Premium and Non-Performing Loans

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Two Relevant Forecasting Problems for Practitioners in Finance: Equity Risk Premium and Non-Performing Loans

dc.contributor.advisor	Soriano Felipe, Pilar
dc.contributor.author	Cortés Sánchez, David
dc.contributor.other	Departament d'Economia Financera i Actuarial	es_ES
dc.date.accessioned	2021-10-18T10:49:30Z
dc.date.available	2021-10-19T04:45:05Z
dc.date.issued	2021	es_ES
dc.date.submitted	15-10-2021	es_ES
dc.identifier.uri	https://hdl.handle.net/10550/80484
dc.description.abstract	The thesis aims to substantiate whether macroeconomic factors indicators are relevant to predict both in-sample and out-of-sample assets' future performance focusing on two well-studied themes in financial economics and banking: First, the ability to predict the equity risk premium, and second, the macroeconomic determinants of non-performing loans (NPL) rates. The dissertation is divided in three chapters. Chapter 1, entitled "Forecasting the equity risk premium in the European Monetary Union", investigates the capacity of multiple economic and technical variables to predict the Euro area equity risk premium. The chapter examines the performance of several variables that could be good predictors of the equity risk premium in the European Monetary Union for a period that spans from 2000 to 2020. Chapter 2, entitled "Forecasting the EMU equity risk premium with regression trees", expands on the previous chapter and investigates whether popular machine learning algorithms, such as classification and regression trees (CART), can help to improve equity risk premium forecasts. Finally, chapter 3, entitled "Macro determinants of non-performing loans: A comparative analysis between consumer and mortgage loans", examines the influence of several macroeconomic factors on delinquency rates using dynamic panel data techniques.	en_US
dc.description.abstract	The thesis aims to substantiate whether macroeconomic factors indicators are relevant to predict both in-sample and out-of-sample assets' future performance focusing on two well-studied themes in financial economics and banking: First, the ability to predict the equity risk premium, and second, the macroeconomic determinants of non-performing loans (NPL) rates. The dissertation is divided in three chapters. Chapter 1, entitled "Forecasting the equity risk premium in the European Monetary Union", investigates the capacity of multiple economic and technical variables to predict the Euro area equity risk premium. The chapter examines the performance of several variables that could be good predictors of the equity risk premium in the European Monetary Union for a period that spans from 2000 to 2020. Chapter 2, entitled "Forecasting the EMU equity risk premium with regression trees", expands on the previous chapter and investigates whether popular machine learning algorithms, such as classification and regression trees (CART), can help to improve equity risk premium forecasts. Finally, chapter 3, entitled "Macro determinants of non-performing loans: A comparative analysis between consumer and mortgage loans", examines the influence of several macroeconomic factors on delinquency rates using dynamic panel data techniques.	es_ES
dc.format.extent	125 p.	es_ES
dc.language.iso	en	es_ES
dc.subject	equity risk premium,	es_ES
dc.subject	forecasting	es_ES
dc.subject	asset allocation	es_ES
dc.subject	regression trees	es_ES
dc.subject	dynamic panel data	es_ES
dc.subject	non-performing loans	es_ES
dc.title	Two Relevant Forecasting Problems for Practitioners in Finance: Equity Risk Premium and Non-Performing Loans	es_ES
dc.type	doctoral thesis	es_ES
dc.subject.unesco	UNESCO::CIENCIAS ECONÓMICAS	es_ES
dc.embargo.terms	0 days	es_ES