* We would like to thank Hanyi Lim and Matthieu Walterspiler for research assistance for the analysis used in this chapter.
1 See the discussion in John Y. Campbell, “Estimating the Equity Premium,” NBER Working Paper 13423 (2007), and the references therein for the arguments on both sides of this debate.
2 Anders E. B. Nielsen and Peter Oppenheimer, “The Equity Cycle Part 1: Identifying the Phases”, Goldman Sachs European Portfolio Strategy, 2009.
3 Anders E. B. Nielsen and Peter Oppenheimer, “The Equity Cycle Part 2: Investing in the Phases”, Goldman Sachs European Portfolio Strategy (2009).
4 See, for example, Eugene F. Fama and Kenneth R. French, “The Cross-Section of Expected Stock Returns,” Journal of Finance 47, no. 2 (1992): 427–465; and Eugene F. Fama and Kenneth R. French, “Common Risk Factors in the Returns on Stocks and Bonds,” Journal of Financial Economics 33, no. 1 (1993): 3–56.
5 Kevin Daly, Anders E. B. Nielsen and Peter Oppenheimer, “Finding Fair Value in Global Equities: Part II—Forecasting Returns,” Journal of Portfolio Management 36, no. 3 (2010): 56–77.