讲座题目：Investor sentiment and paradigm shifts in equity premium forecasting
讲座人：Dr. Liya Chu, Singapore Management University
Applying Baker and Wurgler's investor sentiment index as a switch, we find that fundamental economic variables forecast the equity premium well when sentiment is low while lose their predictive power when sentiment is high. In contrast, non-fundamental variables predict the equity premium well when sentiment is high but not when it is low. We further show that out framework of paradigm shifts in equity premium forecasting between fundamental and non-fundamental predictors shed some lights on the recent debate about the limited power of both fundamental and non-fundamental variables to forecast the equity premium.