Add to ORKGResearchers have documented an abundance of evidence that stock returns are predictable ex post facto. In this study, we address the ex ante predictability of the cross section of stock returns by investigating whether a real-time investor could have used book-to-market equity, firm size, and one-year lagged returns to generate portfolio profits during the 197497 period. We develop variations on common recursive out-of-sample methods and demonstrate a marked difference between ex post and ex ante predictability, suggesting that the current notion of predictability in the literature is exaggerated.
2018-05-08With CRSP return index widely used to compute the dividend‐price ratio in the finance lite...
Goyal and Welch (2007) argue that the historical average excess stock return forecasts future excess...
Past returns contain rich information about future returns. I propose an approach to estimate expect...
There's little argument that returns from investments, is to a large extent, affected by occurrences...
This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahea...
In this paper, we undertake an extensive analysis of in-sample and out-of-sample tests of stock retu...
This paper makes indirect inference about the time variation in expected stock returns by comparing ...
Sample evidence about the predictability of monthly stock returns is considered from the perspective...
This article considers stock return predictability and its source using ratios derived from stock pr...
Two major conclusions follow from this very careful study. First, sophisticated prediction tools do ...
This paper re-examines stock returns predictability over the business cycle using price-dividend and...
In predicting stock market returns, academic research has had its primary focus onmacroeconomic vari...
The predictability of monthly stock returns is investigated from the perspective of a risk-averse in...
This paper provides strong evidence of time-varying return predictability of the Dow Jones Industria...
If returns are not predictable, dividend growth must be predictable, to generate the observed variat...
2018-05-08With CRSP return index widely used to compute the dividend‐price ratio in the finance lite...
Goyal and Welch (2007) argue that the historical average excess stock return forecasts future excess...
Past returns contain rich information about future returns. I propose an approach to estimate expect...
There's little argument that returns from investments, is to a large extent, affected by occurrences...
This paper evaluates the predictability of monthly stock return using out-of-sample (multi-step ahea...
In this paper, we undertake an extensive analysis of in-sample and out-of-sample tests of stock retu...
This paper makes indirect inference about the time variation in expected stock returns by comparing ...
Sample evidence about the predictability of monthly stock returns is considered from the perspective...
This article considers stock return predictability and its source using ratios derived from stock pr...
Two major conclusions follow from this very careful study. First, sophisticated prediction tools do ...
This paper re-examines stock returns predictability over the business cycle using price-dividend and...
In predicting stock market returns, academic research has had its primary focus onmacroeconomic vari...
The predictability of monthly stock returns is investigated from the perspective of a risk-averse in...
This paper provides strong evidence of time-varying return predictability of the Dow Jones Industria...
If returns are not predictable, dividend growth must be predictable, to generate the observed variat...
2018-05-08With CRSP return index widely used to compute the dividend‐price ratio in the finance lite...
Goyal and Welch (2007) argue that the historical average excess stock return forecasts future excess...
Past returns contain rich information about future returns. I propose an approach to estimate expect...