Electronic copy available at: http://ssrn.com/abstract=1787554 Forecasting the Equity Risk Premium: The Role of Technical Indicators Christopher J. Neely Federal Reserve Bank of St. Louis neely@stls.frb.org David E. Rapach Saint Louis University rapachde@slu.edu Jun Tu Singapore Management University tujun@smu.edu.sg Guofu Zhou ∗ Washington University in St. Louis and CAFR zhou@wustl.edu April 11, 2011 ∗ Corresponding author. Send correspondence to Guofu Zhou, Olin School of Business, Washington University in St. Louis, St. Louis, MO 63130; e-mail: zhou@wustl.edu; phone: 314-935-6384. This project began while Ra- pach and Zhou were Visiting Scholars at the Federal Reserve Bank of St. Louis. We thank seminar participants at the Cheung Kong Graduate School of Business, Federal Reserve Bank of St. Louis, Forecasting Financial Markets 2010 Conference, Fudan University, Singapore Management University 2010 Summer Finance Camp, Temple Uni- versity, Third Annual Conference of The Society for Financial Econometrics, University of New South Wales, 2010 Midwest Econometrics Group Meetings, Hank Bessembinder, William Brock, Henry Cao, Long Chen, Todd Clark, John Cochrane, Robert Engle, Miguel Ferreira, Bruce Grundy, Massimo Guidolin, Harrison Hong, Jennifer Huang, Michael McCracken, Adrian Pagan, Jesper Rangvid, Pedro Santa-Clara, Jack Strauss, and George Tauchen for helpful comments. The usual disclaimer applies. The views expressed in this paper are those of the authors and do not reflect those of the Federal Reserve Bank of St. Louis or the Federal Reserve System.