... forecast equity premiums reasonably well. Design/methodology/approach This study replicates out‐of‐sample estimates of regression using ANN with economic fundamentals as inputs. The theory states that recent large equity premium values cannot be explained (the equity premium puzzle). Findings...

... and elasticities. It is estimated for Nokia's time‐series 1993‐2002 and partly for 35 Compustat firms. Findings Direct statistical estimates act properly only as initial values iteratively adjusted for the level of the model. Model parameters show in experiments a significant effect on decision variables...