solution stepwise

5. Run the following forecast egressions: Ttthe = a+ px+ + ettk Where Truxis the continuously compounded market return, measured over k years in the future, where k = 1, 2, 5, and 10 years respectively. x is YG or yg constructed in Maio (2013). Report the estimated slope coefficient, t-statistic, adjusted R square for each regression for the full sample, subsamples from 1871-1926, 1927-1952, 1953-2008, and 2009-2020, respectively. Design a Table similar to Table 1 and report the results. Discuss the empirical results. What do we learn from the empirical results? Sample period Xt = YG Xt = yg Tt+1 B coefficient Adj. RZ B coefficient Adj. R2 t-statistics t-statistics Tt +2 B coefficient Adj. R2 B coefficient Adj. R2 t-statistics t-statistics B coefficient Adj. R2 B coefficient Adj. R2 t-statistics t-statistics It+10 B coefficient Adj. R2 B coefficient Adj. R2 t-statistics t-statistics