Pockets of Predictability
Author
Abstract
Suggested Citation
DOI: 10.1111/jofi.13229
Download full text from publisher
Other versions of this item:
- Timmermann, Allan & Farmer, Leland E. & Schmidt, Lawrence, 2018. "Pockets of Predictability," CEPR Discussion Papers 12885, C.E.P.R. Discussion Papers.
References listed on IDEAS
- Pietro Veronesi, 2000. "How Does Information Quality Affect Stock Returns?," Journal of Finance, American Finance Association, vol. 55(2), pages 807-837, April.
- Martin Lettau & Stijn Van Nieuwerburgh, 2008.
"Reconciling the Return Predictability Evidence,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1607-1652, July.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," NBER Working Papers 12109, National Bureau of Economic Research, Inc.
- Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers 29, Society for Economic Dynamics.
- Ivo Welch & Amit Goyal, 2008.
"A Comprehensive Look at The Empirical Performance of Equity Premium Prediction,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
- Amit Goyal & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," Yale School of Management Working Papers amz2412, Yale School of Management, revised 01 Jan 2006.
- Amit Goyal & Ivo Welch & Athanasse Zafirov, 2021. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II," Swiss Finance Institute Research Paper Series 21-85, Swiss Finance Institute.
- Amit Goval & Ivo Welch, 2004. "A Comprehensive Look at the Empirical Performance of Equity Premium Prediction," NBER Working Papers 10483, National Bureau of Economic Research, Inc.
- Constantinides, George M & Duffie, Darrell, 1996. "Asset Pricing with Heterogeneous Consumers," Journal of Political Economy, University of Chicago Press, vol. 104(2), pages 219-240, April.
- Harrison Hong & Terence Lim & Jeremy C. Stein, 2000.
"Bad News Travels Slowly: Size, Analyst Coverage, and the Profitability of Momentum Strategies,"
Journal of Finance, American Finance Association, vol. 55(1), pages 265-295, February.
- Harrison Hong & Terence Lim & Jeremy C. Stein, 1998. "Bad News Travels Slowly: Size, Analyst Coverage and the Profitability of Momentum Strategies," NBER Working Papers 6553, National Bureau of Economic Research, Inc.
- John Y. Campbell & Luis M. Viceira, 1999.
"Consumption and Portfolio Decisions when Expected Returns are Time Varying,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 114(2), pages 433-495.
- John Y. Campbell & Luis M. Viceira, 1996. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," NBER Working Papers 5857, National Bureau of Economic Research, Inc.
- John Y. Campbell & Luis M. Viceira, 1998. "Consumption and Portfolio Decisions When Expected Returns Are Time Varying," Harvard Institute of Economic Research Working Papers 1835, Harvard - Institute of Economic Research.
- Campbell, John & Viceira, Luis, 1999. "Consumption and Portfolio Decisions When Expected Returns are Time Varying," Scholarly Articles 3163266, Harvard University Department of Economics.
- Malcolm Baker & Jeffrey Wurgler, 2006.
"Investor Sentiment and the Cross‐Section of Stock Returns,"
Journal of Finance, American Finance Association, vol. 61(4), pages 1645-1680, August.
- Malcolm Baker & Jeffrey Wurgler, 2004. "Investor Sentiment and the Cross-Section of Stock Returns," NBER Working Papers 10449, National Bureau of Economic Research, Inc.
- Harrison Hong & Jeremy C. Stein, 1999.
"A Unified Theory of Underreaction, Momentum Trading, and Overreaction in Asset Markets,"
Journal of Finance, American Finance Association, vol. 54(6), pages 2143-2184, December.
- Harrison Hong & Jeremy C. Stein, 1997. "A Unified Theory of Underreaction, Momentum Trading and Overreaction in Asset Markets," NBER Working Papers 6324, National Bureau of Economic Research, Inc.
- Paye, Bradley S. & Timmermann, Allan, 2006. "Instability of return prediction models," Journal of Empirical Finance, Elsevier, vol. 13(3), pages 274-315, June.
- George-Marios Angeletos & Zhen Huo & Karthik A. Sastry, 2021.
"Imperfect Macroeconomic Expectations: Evidence and Theory,"
NBER Macroeconomics Annual, University of Chicago Press, vol. 35(1), pages 1-86.
- George-Marios Angeletos & Zhen Huo & Karthik A. Sastry, 2020. "Imperfect Macroeconomic Expectations: Evidence and Theory," NBER Chapters, in: NBER Macroeconomics Annual 2020, volume 35, pages 1-86, National Bureau of Economic Research, Inc.
- George-Marios Angeletos & Zhen Huo & Karthik A. Sastry, 2020. "Imperfect Macroeconomic Expectations: Evidence and Theory," NBER Working Papers 27308, National Bureau of Economic Research, Inc.
- Hong, Harrison & Torous, Walter & Valkanov, Rossen, 2007. "Do industries lead stock markets?," Journal of Financial Economics, Elsevier, vol. 83(2), pages 367-396, February.
- Jean‐Philippe Bouchaud & Philipp Krüger & Augustin Landier & David Thesmar, 2019.
"Sticky Expectations and the Profitability Anomaly,"
Journal of Finance, American Finance Association, vol. 74(2), pages 639-674, April.
- Jean-Philippe Bouchaud & Philipp Krueger & Augustin Landier & David Thesmar, 2016. "Sticky Expectations and the Profitability Anomaly," Swiss Finance Institute Research Paper Series 16-60, Swiss Finance Institute.
- Thesmar, David & Bouchaud, Jean-Philippe & Krueger, Philipp & Landier, Augustin, 2017. "Sticky Expectations and the Profi tability Anomaly," CEPR Discussion Papers 12528, C.E.P.R. Discussion Papers.
- Herskovic, Bernard & Kelly, Bryan & Lustig, Hanno & Van Nieuwerburgh, Stijn, 2016.
"The common factor in idiosyncratic volatility: Quantitative asset pricing implications,"
Journal of Financial Economics, Elsevier, vol. 119(2), pages 249-283.
- Bernard Herskovic & Bryan T. Kelly & Hanno Lustig & Stijn Van Nieuwerburgh, 2014. "The Common Factor in Idiosyncratic Volatility: Quantitative Asset Pricing Implications," NBER Working Papers 20076, National Bureau of Economic Research, Inc.
- Ang, Andrew & Kristensen, Dennis, 2012.
"Testing conditional factor models,"
Journal of Financial Economics, Elsevier, vol. 106(1), pages 132-156.
- Dennis Kristensen & Andrew Ang, 2009. "Testing Conditional Factor Models," CREATES Research Papers 2009-09, Department of Economics and Business Economics, Aarhus University.
- Andrew Ang & Dennis Kristensen, 2011. "Testing Conditional Factor Models," NBER Working Papers 17561, National Bureau of Economic Research, Inc.
- Avramov, Doron & Wermers, Russ, 2006.
"Investing in mutual funds when returns are predictable,"
Journal of Financial Economics, Elsevier, vol. 81(2), pages 339-377, August.
- Avramov, Doron & Wermers, Russ, 2005. "Investing in mutual funds when returns are predictable," CFR Working Papers 05-13, University of Cologne, Centre for Financial Research (CFR).
- Pedro Bordalo & Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2020.
"Overreaction in Macroeconomic Expectations,"
American Economic Review, American Economic Association, vol. 110(9), pages 2748-2782, September.
- Pedro Bordalo & Nicola Gennaioli & Yueran Ma & Andrei Shleifer, 2018. "Over-reaction in Macroeconomic Expectations," NBER Working Papers 24932, National Bureau of Economic Research, Inc.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2013.
"The Wealth-Consumption Ratio,"
The Review of Asset Pricing Studies, Society for Financial Studies, vol. 3(1), pages 38-94.
- Hanno Lustig & Stijn Van Nieuwerburgh & Adrien Verdelhan, 2008. "The Wealth-Consumption Ratio," NBER Working Papers 13896, National Bureau of Economic Research, Inc.
- Verdelhan, Adrien & Van Nieuwerburgh, Stijn & Lustig, Hanno, 2012. "The Wealth-Consumption Ratio," CEPR Discussion Papers 9022, C.E.P.R. Discussion Papers.
- Bryan Kelly & Seth Pruitt, 2013. "Market Expectations in the Cross-Section of Present Values," Journal of Finance, American Finance Association, vol. 68(5), pages 1721-1756, October.
- Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014.
"Forecasting stock returns under economic constraints,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
- Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers 57, Brandeis University, Department of Economics and International Business School.
- Clark, Todd E. & McCracken, Michael W., 2001.
"Tests of equal forecast accuracy and encompassing for nested models,"
Journal of Econometrics, Elsevier, vol. 105(1), pages 85-110, November.
- Todd E. Clark & Michael W. McCracken, 1999. "Tests of equal forecast accuracy and encompassing for nested models," Research Working Paper 99-11, Federal Reserve Bank of Kansas City.
- Todd E. Clark & Michael W. McCracken, 2000. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Econometric Society World Congress 2000 Contributed Papers 0319, Econometric Society.
- Todd E. Clark & Michael McCracken, 1999. "Tests of Equal Forecast Accuracy and Encompassing for Nested Models," Computing in Economics and Finance 1999 1241, Society for Computational Economics.
- N. Gregory Mankiw & Ricardo Reis, 2002.
"Sticky Information versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 117(4), pages 1295-1328.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky information versus sticky prices: a proposal to replace the New-Keynesian Phillips curve," Proceedings, Federal Reserve Bank of San Francisco, issue Jun.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Harvard Institute of Economic Research Working Papers 1922, Harvard - Institute of Economic Research.
- N. Gregory Mankiw & Ricardo Reis, 2001. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," NBER Working Papers 8290, National Bureau of Economic Research, Inc.
- Mankiw, N. Gregory & Reis, Ricardo, 2002. "Sticky Information Versus Sticky Prices: A Proposal to Replace the New Keynesian Phillips Curve," Scholarly Articles 3415324, Harvard University Department of Economics.
- John Y. Campbell & Samuel B. Thompson, 2008.
"Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1509-1531, July.
- Campbell, John & Thompson, Samuel P., 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Scholarly Articles 2622619, Harvard University Department of Economics.
- R. David Mclean & Jeffrey Pontiff, 2016. "Does Academic Research Destroy Stock Return Predictability?," Journal of Finance, American Finance Association, vol. 71(1), pages 5-32, February.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998.
"A model of investor sentiment,"
Journal of Financial Economics, Elsevier, vol. 49(3), pages 307-343, September.
- Nicholas Barberis & Andrei Shleifer & Robert W. Vishny, 1997. "A Model of Investor Sentiment," NBER Working Papers 5926, National Bureau of Economic Research, Inc.
- Barberis, Nicholas & Shleifer, Andrei & Vishny, Robert, 1998. "A Model of Investor Sentiment," Scholarly Articles 30747159, Harvard University Department of Economics.
- Keim, Donald B. & Stambaugh, Robert F., 1986.
"Predicting returns in the stock and bond markets,"
Journal of Financial Economics, Elsevier, vol. 17(2), pages 357-390, December.
- Donald B. Keim & Robert F. Stambaugh, "undated". "Predicting Returns in the Stock and Bond Markets," Rodney L. White Center for Financial Research Working Papers 15-85, Wharton School Rodney L. White Center for Financial Research.
- Larry G. Epstein & Stanley E. Zin, 2013.
"Substitution, risk aversion and the temporal behavior of consumption and asset returns: A theoretical framework,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 12, pages 207-239,
World Scientific Publishing Co. Pte. Ltd..
- Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-969, July.
- Larry G. Epstein & Stanley E. Zin, 1987. "Substitution, Risk Aversion and the Temporal Behaviour of Consumption and Asset Returns I: A Theoretical Framework," Working Paper 699, Economics Department, Queen's University.
- Timmermann, Allan, 2000.
"Moments of Markov switching models,"
Journal of Econometrics, Elsevier, vol. 96(1), pages 75-111, May.
- Allan Timmermann, 1999. "Moments of Markov Switching Models," FMG Discussion Papers dp323, Financial Markets Group.
- Harrison Hong & Jeremy C. Stein & Jialin Yu, 2007.
"Simple Forecasts and Paradigm Shifts,"
Journal of Finance, American Finance Association, vol. 62(3), pages 1207-1242, June.
- Harrison Hong & Jeremy C. Stein, 2003. "Simple Forecasts and Paradigm Shifts," NBER Working Papers 10013, National Bureau of Economic Research, Inc.
- Harrison Hong & Jeremy C. Stein, 2003. "Simple Forecasts and Paradigm Shifts," Harvard Institute of Economic Research Working Papers 2007, Harvard - Institute of Economic Research.
- Andrew Ang & Geert Bekaert, 2007.
"Stock Return Predictability: Is it There?,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(3), pages 651-707.
- Andrew Ang & Geert Bekaert, 2001. "Stock Return Predictability: Is it There?," NBER Working Papers 8207, National Bureau of Economic Research, Inc.
- Nicolae Gârleanu & Stavros Panageas, 2015. "Young, Old, Conservative, and Bold: The Implications of Heterogeneity and Finite Lives for Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 123(3), pages 670-685.
- Graham Elliott & Ulrich K. Muller, 2006. "Efficient Tests for General Persistent Time Variation in Regression Coefficients," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 73(4), pages 907-940.
- Olivier Coibion & Yuriy Gorodnichenko, 2015.
"Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts,"
American Economic Review, American Economic Association, vol. 105(8), pages 2644-2678, August.
- Olivier Coibion & Yuriy Gorodnichenko, 2010. "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts," NBER Working Papers 16537, National Bureau of Economic Research, Inc.
- Mr. Olivier Coibion & Mr. Yuriy Gorodnichenko, 2012. "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts," IMF Working Papers 2012/296, International Monetary Fund.
- Olivier Coibion & Yuriy Gorodnichenko, 2010. "Information Rigidity and the Expectations Formation Process: A Simple Framework and New Facts," Working Papers 102, Department of Economics, College of William and Mary.
- Fama, Eugene F. & French, Kenneth R., 1989. "Business conditions and expected returns on stocks and bonds," Journal of Financial Economics, Elsevier, vol. 25(1), pages 23-49, November.
- Ricardo De La O & Sean Myers, 2021. "Subjective Cash Flow and Discount Rate Expectations," Journal of Finance, American Finance Association, vol. 76(3), pages 1339-1387, June.
- John Y. Campbell & John Cochrane, 1999.
"Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior,"
Journal of Political Economy, University of Chicago Press, vol. 107(2), pages 205-251, April.
- John Y. Campbell & John H. Cochrane, 1994. "By force of habit: a consumption-based explanation of aggregate stock market behavior," Working Papers 94-17, Federal Reserve Bank of Philadelphia.
- John Y. Campbell & John H. Cochrane, 1995. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," NBER Working Papers 4995, National Bureau of Economic Research, Inc.
- John Y. Campbell & John H. Cochrane, 1994. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," CRSP working papers 412, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Campbell, John & Cochrane, John H., 1999. "By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior," Scholarly Articles 3119444, Harvard University Department of Economics.
- Schwert, G. William, 2003.
"Anomalies and market efficiency,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 15, pages 939-974,
Elsevier.
- G. William Schwert, 2002. "Anomalies and Market Efficiency," NBER Working Papers 9277, National Bureau of Economic Research, Inc.
- Paye, Bradley S., 2012. "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, vol. 106(3), pages 527-546.
- Geert Bekaert & Eric Engstrom, 2017.
"Asset Return Dynamics under Habits and Bad Environment-Good Environment Fundamentals,"
Journal of Political Economy, University of Chicago Press, vol. 125(3), pages 713-760.
- Geert Bekaert & Eric Engstrom, 2015. "Asset Return Dynamics under Habits and Bad-Environment Good-Environment Fundamentals," Finance and Economics Discussion Series 2015-53, Board of Governors of the Federal Reserve System (U.S.).
- Cecchetti, Stephen G & Lam, Pok-sang & Mark, Nelson C, 1990.
"Mean Reversion in Equilibrium Asset Prices,"
American Economic Review, American Economic Association, vol. 80(3), pages 398-418, June.
- Stephen G. Cecchetti & Pok-sang Lam & Nelson C. Mark, 1988. "Mean Reversion in Equilibrium Asset Prices," NBER Working Papers 2762, National Bureau of Economic Research, Inc.
- David E. Rapach & Mark E. Wohar, 2006. "Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns," Journal of Financial Econometrics, Oxford University Press, vol. 4(2), pages 238-274.
- Jessica A. Wachter, 2013.
"Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?,"
Journal of Finance, American Finance Association, vol. 68(3), pages 987-1035, June.
- Jessica Wachter, 2008. "Can time-varying risk of rare disasters explain aggregate stock market volatility?," 2008 Meeting Papers 944, Society for Economic Dynamics.
- Jessica Wachter, 2008. "Can Time-Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?," NBER Working Papers 14386, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:59:y:2004:i:4:p:1481-1509 is not listed on IDEAS
- Bansal, Ravi & Kiku, Dana & Yaron, Amir, 2012.
"An Empirical Evaluation of the Long-Run Risks Model for Asset Prices,"
Critical Finance Review, now publishers, vol. 1(1), pages 183-221, January.
- Ravi Bansal & Dana Kiku & Amir Yaron, 2009. "An Empirical Evaluation of the Long-Run Risks Model for Asset Prices," NBER Working Papers 15504, National Bureau of Economic Research, Inc.
- Pesaran, M Hashem & Timmermann, Allan, 1995. "Predictability of Stock Returns: Robustness and Economic Significance," Journal of Finance, American Finance Association, vol. 50(4), pages 1201-1228, September.
- Tauchen, George, 1986. "Finite state markov-chain approximations to univariate and vector autoregressions," Economics Letters, Elsevier, vol. 20(2), pages 177-181.
- Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2013.
"The cross section of conditional mutual fund performance in European stock markets,"
Journal of Financial Economics, Elsevier, vol. 108(3), pages 699-726.
- Banegas, Ayelen & Gillen, Ben & Timmermann, Allan & Wermers, Russ, 2012. "The cross-section of conditional mutual fund performance in European stock markets," CFR Working Papers 09-03 [rev.], University of Cologne, Centre for Financial Research (CFR).
- Stefano Giglio & Bryan Kelly, 2018.
"Excess Volatility: Beyond Discount Rates,"
The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 133(1), pages 71-127.
- Stefano Giglio & Bryan Kelly, 2016. "Excess Volatility: Beyond Discount Rates," NBER Working Papers 22045, National Bureau of Economic Research, Inc.
- Diebold, Francis X & Mariano, Roberto S, 2002.
"Comparing Predictive Accuracy,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 20(1), pages 134-144, January.
- Diebold, Francis X & Mariano, Roberto S, 1995. "Comparing Predictive Accuracy," Journal of Business & Economic Statistics, American Statistical Association, vol. 13(3), pages 253-263, July.
- Francis X. Diebold & Roberto S. Mariano, 1994. "Comparing Predictive Accuracy," NBER Technical Working Papers 0169, National Bureau of Economic Research, Inc.
- Lars Peter Hansen & John C. Heaton & Nan Li, 2008.
"Consumption Strikes Back? Measuring Long-Run Risk,"
Journal of Political Economy, University of Chicago Press, vol. 116(2), pages 260-302, April.
- Lars Peter Hansen & John Heaton & Nan Li, 2005. "Consumption Strikes Back?: Measuring Long-Run Risk," NBER Working Papers 11476, National Bureau of Economic Research, Inc.
- Kandel, Shmuel & Stambaugh, Robert F, 1996.
"On the Predictability of Stock Returns: An Asset-Allocation Perspective,"
Journal of Finance, American Finance Association, vol. 51(2), pages 385-424, June.
- Shmuel Kandel & Robert F. Stambaugh, 1995. "On the Predictability of Stock Returns: An Asset-Allocation Perspective," NBER Working Papers 4997, National Bureau of Economic Research, Inc.
- Capistrán, Carlos & Timmermann, Allan, 2009.
"Forecast Combination With Entry and Exit of Experts,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 428-440.
- Timmermann Allan & Capistrán Carlos, 2006. "Forecast Combination with Entry and Exit of Experts," Working Papers 2006-08, Banco de México.
- Carlos Capistrán & Allan Timmermann, 2008. "Forecast Combination With Entry and Exit of Experts," CREATES Research Papers 2008-55, Department of Economics and Business Economics, Aarhus University.
- Sina Ehsani & Juhani T. Linnainmaa, 2022. "Factor Momentum and the Momentum Factor," Journal of Finance, American Finance Association, vol. 77(3), pages 1877-1919, June.
- Clifford S. Asness & Tobias J. Moskowitz & Lasse Heje Pedersen, 2013. "Value and Momentum Everywhere," Journal of Finance, American Finance Association, vol. 68(3), pages 929-985, June.
- Yacine AÏT‐SAHALI & Michael W. Brandt, 2001.
"Variable Selection for Portfolio Choice,"
Journal of Finance, American Finance Association, vol. 56(4), pages 1297-1351, August.
- Yacine Ait-Sahalia & Michael W. Brandt, 2001. "Variable Selection for Portfolio Choice," NBER Working Papers 8127, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Y. & Brandt, M.W., 2001. "Variable Selection for Portfolio Choice," Papers 34, Manitoba - Department of Economics.
- Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001. "Variable Selection for Portfolio Choice," FAME Research Paper Series rp34, International Center for Financial Asset Management and Engineering.
- Minyou Fan & Youwei Li & Ming Liao & Jiadong Liu, 2022. "A reexamination of factor momentum: How strong is it?," The Financial Review, Eastern Finance Association, vol. 57(3), pages 585-615, August.
- John Y. Campbell, Robert J. Shiller, 1988.
"The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors,"
The Review of Financial Studies, Society for Financial Studies, vol. 1(3), pages 195-228.
- John Y. Campbell & Robert J. Shiller, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," NBER Working Papers 2100, National Bureau of Economic Research, Inc.
- Robert J. Shiller & John Y. Campbell, 1986. "The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors," Cowles Foundation Discussion Papers 812, Cowles Foundation for Research in Economics, Yale University.
- Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, April.
- Lettau, Martin & Wachter, Jessica A., 2011.
"The term structures of equity and interest rates,"
Journal of Financial Economics, Elsevier, vol. 101(1), pages 90-113, July.
- Martin Lettau & Jessica A. Wachter, 2009. "The Term Structures of Equity and Interest Rates," NBER Working Papers 14698, National Bureau of Economic Research, Inc.
- Timmermann, Allan, 2008. "Reply to the discussion of Elusive Return Predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 29-30.
- Malcolm Baker & Jeffrey Wurgler, 2007.
"Investor Sentiment in the Stock Market,"
Journal of Economic Perspectives, American Economic Association, vol. 21(2), pages 129-152, Spring.
- Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
- Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
- Campbell, John Y., 1987.
"Stock returns and the term structure,"
Journal of Financial Economics, Elsevier, vol. 18(2), pages 373-399, June.
- John Y. Campbell, 1985. "Stock Returns and the Term Structure," NBER Working Papers 1626, National Bureau of Economic Research, Inc.
- Campbell, John, 1987. "Stock Returns and the Term Structure," Scholarly Articles 3207699, Harvard University Department of Economics.
- Aruoba, S. BoraÄŸan & Diebold, Francis X. & Scotti, Chiara, 2009.
"Real-Time Measurement of Business Conditions,"
Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 417-427.
- Chiara Scotti & S.Boragan Aruoba & Francis X. Diebold & University of Maryland, 2006. "Real-Time Measurement of Business Conditions," Computing in Economics and Finance 2006 387, Society for Computational Economics.
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-Time Measurement of Business Conditions," NBER Working Papers 14349, National Bureau of Economic Research, Inc.
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-time measurement of business conditions," International Finance Discussion Papers 901, Board of Governors of the Federal Reserve System (U.S.).
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2007. "Real-Time Measurement of Business Conditions," PIER Working Paper Archive 07-028, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- S. Boragan Aruoba & Francis X. Diebold & Chiara Scotti, 2008. "Real-time measurement of business conditions," Working Papers 08-19, Federal Reserve Bank of Philadelphia.
- Cai, Zongwu, 2007. "Trending time-varying coefficient time series models with serially correlated errors," Journal of Econometrics, Elsevier, vol. 136(1), pages 163-188, January.
- Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
- Davide Pettenuzzo & Riccardo Sabbatucci & Allan Timmermann, 2018. "High-frequency Cash Flow Dynamics," Working Papers 120, Brandeis University, Department of Economics and International Business School.
- Clark, Todd E. & West, Kenneth D., 2007.
"Approximately normal tests for equal predictive accuracy in nested models,"
Journal of Econometrics, Elsevier, vol. 138(1), pages 291-311, May.
- Todd E. Clark & Kenneth D. West, 2005. "Approximately normal tests for equal predictive accuracy in nested models," Research Working Paper RWP 05-05, Federal Reserve Bank of Kansas City.
- Kenneth D. West & Todd Clark, 2006. "Approximately Normal Tests for Equal Predictive Accuracy in Nested Models," NBER Technical Working Papers 0326, National Bureau of Economic Research, Inc.
- JULES H. Van BINSBERGEN & RALPH S. J. KOIJEN, 2010.
"Predictive Regressions: A Present‐Value Approach,"
Journal of Finance, American Finance Association, vol. 65(4), pages 1439-1471, August.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2010. "Predictive Regressions: A Present-value Approach," NBER Working Papers 16263, National Bureau of Economic Research, Inc.
- Timmermann, Allan, 2006.
"Forecast Combinations,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 4, pages 135-196,
Elsevier.
- Timmermann, Allan, 2005. "Forecast Combinations," CEPR Discussion Papers 5361, C.E.P.R. Discussion Papers.
- Marco Aiolfi & Carlos Capistrán & Allan Timmermann, 2010. "Forecast Combinations," CREATES Research Papers 2010-21, Department of Economics and Business Economics, Aarhus University.
- Aiolfi Marco & Capistrán Carlos & Timmermann Allan, 2010. "Forecast Combinations," Working Papers 2010-04, Banco de México.
- Sims, Christopher A., 2003. "Implications of rational inattention," Journal of Monetary Economics, Elsevier, vol. 50(3), pages 665-690, April.
- Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
- Ľuboš Pástor & Robert F. Stambaugh, 2009.
"Predictive Systems: Living with Imperfect Predictors,"
Journal of Finance, American Finance Association, vol. 64(4), pages 1583-1628, August.
- Stambaugh, Robert F. & Pástor, Luboš, 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers.
- Lubos Pastor & Robert F. Stambaugh, 2007. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 12814, National Bureau of Economic Research, Inc.
- Lubos Pastor & Robert F. Stambaugh, 2008. "Predictive Systems: Living with Imperfect Predictors," NBER Working Papers 13804, National Bureau of Economic Research, Inc.
- repec:bla:jfinan:v:53:y:1998:i:6:p:1839-1885 is not listed on IDEAS
- Drew D. Creal & Jing Cynthia Wu, 2020.
"Bond risk premia in consumption‐based models,"
Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
- Drew D. Creal & Jing Cynthia Wu, 2016. "Bond Risk Premia in Consumption-based Models," NBER Working Papers 22183, National Bureau of Economic Research, Inc.
- Wachter, Jessica A., 2005.
"Solving models with external habit,"
Finance Research Letters, Elsevier, vol. 2(4), pages 210-226, December.
- Jessica A. Wachter, 2005. "Solving Models with External Habit," NBER Working Papers 11559, National Bureau of Economic Research, Inc.
- Michael Katz & Hanno Lustig & Lars Nielsen, 2017. "Are Stocks Real Assets? Sticky Discount Rates in Stock Markets," The Review of Financial Studies, Society for Financial Studies, vol. 30(2), pages 539-587.
- George M. Constantinides & Anisha Ghosh, 2017.
"Asset Pricing with Countercyclical Household Consumption Risk,"
Journal of Finance, American Finance Association, vol. 72(1), pages 415-460, February.
- George M. Constantinides & Anisha Ghosh, 2014. "Asset Pricing with Countercyclical Household Consumption Risk," NBER Working Papers 20110, National Bureau of Economic Research, Inc.
- Anisha Ghosh & George Constantinides, 2015. "Asset Pricing with Countercyclical Household Consumption Risk," 2015 Meeting Papers 185, Society for Economic Dynamics.
- Tobias J. Moskowitz & Mark Grinblatt, 1999.
"Do Industries Explain Momentum?,"
Journal of Finance, American Finance Association, vol. 54(4), pages 1249-1290, August.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 480, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Tobias J. Moskowitz & Mark Grinblatt, "undated". "Do Industries Explain Momentum?," CRSP working papers 352, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
- Tobias Adrian & Erkko Etula & Tyler Muir, 2014. "Financial Intermediaries and the Cross-Section of Asset Returns," Journal of Finance, American Finance Association, vol. 69(6), pages 2557-2596, December.
- Itamar Drechsler & Amir Yaron, 2011. "What's Vol Got to Do with It," The Review of Financial Studies, Society for Financial Studies, vol. 24(1), pages 1-45.
- Alberto G. Rossi & Allan Timmermann, 2015. "Modeling Covariance Risk in Merton's ICAPM," The Review of Financial Studies, Society for Financial Studies, vol. 28(5), pages 1428-1461.
- Bjørn Eraker & Ivan Shaliastovich, 2008. "An Equilibrium Guide To Designing Affine Pricing Models," Mathematical Finance, Wiley Blackwell, vol. 18(4), pages 519-543, October.
- G. Elliott & C. Granger & A. Timmermann (ed.), 2006. "Handbook of Economic Forecasting," Handbook of Economic Forecasting, Elsevier, edition 1, volume 1, number 1.
- Nicholas Barberis, 2000. "Investing for the Long Run when Returns Are Predictable," Journal of Finance, American Finance Association, vol. 55(1), pages 225-264, February.
- Alexander David & Pietro Veronesi, 2013. "What Ties Return Volatilities to Price Valuations and Fundamentals?," Journal of Political Economy, University of Chicago Press, vol. 121(4), pages 682-746.
- Timmermann, Allan, 2008. "Elusive return predictability," International Journal of Forecasting, Elsevier, vol. 24(1), pages 1-18.
- Bin Chen & Yongmiao Hong, 2012. "Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression," Econometrica, Econometric Society, vol. 80(3), pages 1157-1183, May.
- John H. Cochrane, 2008.
"The Dog That Did Not Bark: A Defense of Return Predictability,"
The Review of Financial Studies, Society for Financial Studies, vol. 21(4), pages 1533-1575, July.
- John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers 12026, National Bureau of Economic Research, Inc.
- Fama, Eugene F. & French, Kenneth R., 1988. "Dividend yields and expected stock returns," Journal of Financial Economics, Elsevier, vol. 22(1), pages 3-25, October.
- Alan Moreira & Tyler Muir, 2017. "Volatility-Managed Portfolios," Journal of Finance, American Finance Association, vol. 72(4), pages 1611-1644, August.
- Stambaugh, Robert F., 1999.
"Predictive regressions,"
Journal of Financial Economics, Elsevier, vol. 54(3), pages 375-421, December.
- Robert F. Stambaugh, 1999. "Predictive Regressions," NBER Technical Working Papers 0240, National Bureau of Economic Research, Inc.
- Sebastian Di Tella, 2017. "Uncertainty Shocks and Balance Sheet Recessions," Journal of Political Economy, University of Chicago Press, vol. 125(6), pages 2038-2081.
- Balvers, Ronald J & Cosimano, Thomas F & McDonald, Bill, 1990. "Predicting Stock Returns in an Efficient Market," Journal of Finance, American Finance Association, vol. 45(4), pages 1109-1128, September.
- Jeremiah Green & John R. M. Hand & Mark T. Soliman, 2011. "Going, Going, Gone? The Apparent Demise of the Accruals Anomaly," Management Science, INFORMS, vol. 57(5), pages 797-816, May.
- Unknown, 1986. "Letters," Choices: The Magazine of Food, Farm, and Resource Issues, Agricultural and Applied Economics Association, vol. 1(4), pages 1-9.
- Ferson, Wayne E & Schadt, Rudi W, 1996. "Measuring Fund Strategy and Performance in Changing Economic Conditions," Journal of Finance, American Finance Association, vol. 51(2), pages 425-461, June.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chen, Qitong & Hong, Yongmiao & Li, Haiqi, 2024. "Time-varying forecast combination for factor-augmented regressions with smooth structural changes," Journal of Econometrics, Elsevier, vol. 240(1).
- Hambuckers, J. & Ulm, M., 2023. "On the role of interest rate differentials in the dynamic asymmetry of exchange rates," Economic Modelling, Elsevier, vol. 129(C).
- Gary Koop & Dimitris Korobilis, 2023.
"Bayesian Dynamic Variable Selection In High Dimensions,"
International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 64(3), pages 1047-1074, August.
- Gary Koop & Dimitris Korobilis, 2018. "Bayesian dynamic variable selection in high dimensions," Papers 1809.03031, arXiv.org, revised May 2020.
- Korobilis, Dimitris & Koop, Gary, 2020. "Bayesian dynamic variable selection in high dimensions," MPRA Paper 100164, University Library of Munich, Germany.
- Gary Koop & Dimitris Korobilis, 2020. "Bayesian dynamic variable selection in high dimensions," Working Papers 2020_11, Business School - Economics, University of Glasgow.
- Barbara Rossi, 2019.
"Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them,"
Working Papers
1162, Barcelona School of Economics.
- Rossi, Barbara, 2020. "Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them," CEPR Discussion Papers 14472, C.E.P.R. Discussion Papers.
- Barbara Rossi, 2019. "Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them," Economics Working Papers 1711, Department of Economics and Business, Universitat Pompeu Fabra, revised Jul 2021.
- Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022.
"Testing for episodic predictability in stock returns,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
- Guillaume Coqueret, 2023. "Forking paths in financial economics," Papers 2401.08606, arXiv.org.
- Fan, Rui & Lee, Ji Hyung & Shin, Youngki, 2023.
"Predictive quantile regression with mixed roots and increasing dimensions: The ALQR approach,"
Journal of Econometrics, Elsevier, vol. 237(2).
- Rui Fan & Ji Hyung Lee & Youngki Shin, 2021. "Predictive Quantile Regression with Mixed Roots and Increasing Dimensions: The ALQR Approach," Papers 2101.11568, arXiv.org, revised Dec 2022.
- Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
- Yannick Hoga, 2024. "Persistence-Robust Break Detection in Predictive Quantile and CoVaR Regressions," Papers 2410.05861, arXiv.org.
- Yu, Deshui & Chen, Li, 2024. "Local predictability of stock returns and cash flows," Journal of Empirical Finance, Elsevier, vol. 77(C).
- Anibal Emiliano Da Silva Neto & Jesús Gonzalo & Jean‐Yves Pitarakis, 2021.
"Uncovering Regimes in Out of Sample Forecast Errors from Predictive Regressions,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(3), pages 713-741, June.
- Pitarakis, Jean-Yves, 2020. "Uncovering regimes in out of sample forecast errors from predictive regressions," UC3M Working papers. Economics 31555, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Pitarakis, Jean-Yves, 2019. "Predictive Regressions," UC3M Working papers. Economics 28554, Universidad Carlos III de Madrid. Departamento de EconomÃa.
- Arnaud Dufays & Zhuo Li & Jeroen V.K. Rombouts & Yong Song, 2021. "Sparse change‐point VAR models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(6), pages 703-727, September.
- Deshui Yu & Yayi Yan, 2023. "Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework," Financial Management, Financial Management Association International, vol. 52(3), pages 513-541, September.
- Eraslan, Sercan & Schröder, Maximilian, 2023. "Nowcasting GDP with a pool of factor models and a fast estimation algorithm," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1460-1476.
- Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
- Moench, Emanuel & Stein, Tobias, 2019. "Comment on “Monetary Policy Communication, Policy Slope, and the Stock Market” by Andreas Neuhierl and Michael Weber," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 156-161.
- David I. Harvey & Stephen J. Leybourne & Robert Sollis & A.M. Robert Taylor, 2021.
"Real‐time detection of regimes of predictability in the US equity premium,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 36(1), pages 45-70, January.
- Harvey, David I & Leybourne, Stephen J & Sollis, Robert & Taylor, AM Robert, 2020. "Real-Time Detection of Regimes of Predictability in the U.S. Equity Premium," Essex Finance Centre Working Papers 27775, University of Essex, Essex Business School.
- Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
- Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Rapach, David & Zhou, Guofu, 2013. "Forecasting Stock Returns," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 328-383, Elsevier.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2014.
"Forecasting the Equity Risk Premium: The Role of Technical Indicators,"
Management Science, INFORMS, vol. 60(7), pages 1772-1791, July.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Singapore Management University, Sim Kee Boon Institute for Financial Economics.
- Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014.
"Forecasting stock returns under economic constraints,"
Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
- Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013. "Forecasting Stock Returns under Economic Constraints," Working Papers 57, Brandeis University, Department of Economics and International Business School.
- Timmermann, Allan & Pettenuzzo, Davide & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
- Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022.
"Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?,"
Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
- Kevin J. Lansing & Stephen F. LeRoy & Jun Ma, 2022. "Examining the Sources of Excess Return Predictability: Stochastic Volatility or Market Inefficiency?," Working Paper Series 2018-14, Federal Reserve Bank of San Francisco.
- Mykola Babiak & Jozef Barunik, 2020.
"Deep Learning, Predictability, and Optimal Portfolio Returns,"
CERGE-EI Working Papers
wp677, The Center for Economic Research and Graduate Education - Economics Institute, Prague.
- Mykola Babiak & Jozef Barunik, 2020. "Deep Learning, Predictability, and Optimal Portfolio Returns," Papers 2009.03394, arXiv.org, revised Jul 2021.
- Allan Timmermann, 2018. "Forecasting Methods in Finance," Annual Review of Financial Economics, Annual Reviews, vol. 10(1), pages 449-479, November.
- Smith, Simon C., 2021. "International stock return predictability," International Review of Financial Analysis, Elsevier, vol. 78(C).
- Yin, Anwen, 2020. "Equity premium prediction and optimal portfolio decision with Bagging," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
- Wang, Yudong & Pan, Zhiyuan & Liu, Li & Wu, Chongfeng, 2019. "Oil price increases and the predictability of equity premium," Journal of Banking & Finance, Elsevier, vol. 102(C), pages 43-58.
- Davide Pettenuzzo & Francesco Ravazzolo, 2016.
"Optimal Portfolio Choice Under Decision‐Based Model Combinations,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
- Timmermann, Allan, 2018. "Forecasting Methods in Finance," CEPR Discussion Papers 12692, C.E.P.R. Discussion Papers.
- Davide Pettenuzzo & Francesco Ravazzolo, 2016.
"Optimal Portfolio Choice Under Decision‐Based Model Combinations,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 31(7), pages 1312-1332, November.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal portfolio choice under decision-based model combinations," Working Paper 2014/15, Norges Bank.
- Davide Pettenuzzo & Francesco Ravazzolo, 2015. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers No 9/2015, Centre for Applied Macro- and Petroleum economics (CAMP), BI Norwegian Business School.
- Davide Pettenuzzo & Francesco Ravazzolo, 2014. "Optimal Portfolio Choice under Decision-Based Model Combinations," Working Papers 80, Brandeis University, Department of Economics and International Business School.
- Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo M.M. & Taylor, A.M. Robert, 2022.
"Testing for episodic predictability in stock returns,"
Journal of Econometrics, Elsevier, vol. 227(1), pages 85-113.
- Demetrescu, Matei & Georgiev, Iliyan & Rodrigues, Paulo MM & Taylor, AM Robert, 2019. "Testing for Episodic Predictability in Stock Returns," Essex Finance Centre Working Papers 24137, University of Essex, Essex Business School.
- Paulo M.M. Rodrigues & Matei Demetrescu, 2019. "Testing for Episodic Predictability in Stock Returns," Working Papers w201906, Banco de Portugal, Economics and Research Department.
- Daniel Mantilla-García & Vijay Vaidyanathan, 2017. "Predicting stock returns in the presence of uncertain structural changes and sample noise," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(3), pages 357-391, August.
- Bätje, Fabian & Menkhoff, Lukas, 2016. "Predicting the equity premium via its components," VfS Annual Conference 2016 (Augsburg): Demographic Change 145789, Verein für Socialpolitik / German Economic Association.
- Rapach, David E. & Ringgenberg, Matthew C. & Zhou, Guofu, 2016. "Short interest and aggregate stock returns," Journal of Financial Economics, Elsevier, vol. 121(1), pages 46-65.
- Rossi, Barbara, 2013.
"Advances in Forecasting under Instability,"
Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324,
Elsevier.
- Barbara Rossi, 2011. "Advances in Forecasting Under Instability," Working Papers 11-20, Duke University, Department of Economics.
- Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020.
"Equity premium prediction and the state of the economy,"
Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
- Ilias Tsiakas & Jiahan Li & Haibin Zhang, 2020. "Equity Premium Prediction and the State of the Economy," Working Paper series 20-16, Rimini Centre for Economic Analysis.
- Gonçalo Faria & Fabio Verona, 2016.
"Forecasting the equity risk premium with frequency-decomposed predictors,"
Working Papers de Economia (Economics Working Papers)
06, Católica Porto Business School, Universidade Católica Portuguesa.
- Faria, Gonçalo & Verona, Fabio, 2017. "Forecasting the equity risk premium with frequency-decomposed predictors," Bank of Finland Research Discussion Papers 1/2017, Bank of Finland.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:bla:jfinan:v:78:y:2023:i:3:p:1279-1341. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley Content Delivery (email available below). General contact details of provider: https://edirc.repec.org/data/afaaaea.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.