Forecasting Stock Returns

[1]  Robert C. Merton,et al.  On Market Timing and Investment Performance Part II: Statistical Procedures for Evaluating Forecasting Skills , 2015 .

[2]  Bryan T. Kelly,et al.  The Three-Pass Regression Filter: A New Approach to Forecasting Using Many Predictors , 2014 .

[3]  Michael W. McCracken,et al.  Testing the Economic Value of Asset Return Predictability , 2012 .

[4]  Seth Pruitt,et al.  Market Expectations in the Cross Section of Present Values , 2012 .

[5]  Allan Timmermann,et al.  Choice of Sample Split in Out-of-Sample Forecast Evaluation , 2012 .

[6]  Todd E. Clark,et al.  Reality Checks and Comparisons of Nested Predictive Models , 2012 .

[7]  Guofu Zhou,et al.  A New Anomaly: The Cross-Sectional Profitability of Technical Analysis , 2011, Journal of Financial and Quantitative Analysis.

[8]  Barbara Rossi,et al.  Out-of-Sample Forecast Tests Robust to the Choice of Window Size , 2011 .

[9]  John H. Cochrane,et al.  Presidential Address: Discount Rates , 2011 .

[10]  Guofu Zhou,et al.  Predicting Market Components Out of Sample: Asset Allocation Implications , 2011, The Journal of Portfolio Management.

[11]  Erik Hjalmarsson,et al.  New Methods for Inference in Long-Horizon Regressions , 2011 .

[12]  A. Timmermann,et al.  Regime Changes and Financial Markets , 2011 .

[13]  Guofu Zhou,et al.  Forecasting the Equity Risk Premium: The Role of Technical Indicators , 2011, Manag. Sci..

[14]  Guofu Zhou,et al.  Out-of-Sample Industry Return Predictability: Evidence from A Large Number of Predictors , 2011 .

[15]  Federico Nardari,et al.  Time-varying short-horizon predictability ☆ , 2011 .

[16]  Barbara Rossi,et al.  Out-of-Sample Forecast Tests Robust to the Window Size Choice , 2011 .

[17]  Stijn Van Nieuwerburgh,et al.  Predictability of Returns and Cash Flows , 2010 .

[18]  Davide Pettenuzzo,et al.  Predictability of Stock Returns and Asset Allocation Under Structural Breaks , 2010 .

[19]  Lucio Sarno,et al.  A century of equity premium predictability and the consumption-wealth ratio: An international perspective , 2010 .

[20]  Barbara Rossi,et al.  Forecast comparisons in unstable environments , 2010 .

[21]  Guofu Zhou How Much Stock Return Predictability Can We Expect From an Asset Pricing Model , 2010 .

[22]  J. Nankervis,et al.  Predicting the equity premium with dividend ratios: reconciling the evidence. [Lead article] , 2010 .

[23]  Guofu Zhou,et al.  International Stock Return Predictability: What is the Role of the United States? , 2010 .

[24]  Jun Tu,et al.  Is Regime Switching in Stock Returns Important in Portfolio Decisions? , 2010, Manag. Sci..

[25]  Yongmiao Hong,et al.  Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach , 2009 .

[26]  Avanidhar Subrahmanyam,et al.  The Cross-Section of Expected Stock Returns: What Have We Learnt from the Past Twenty-Five Years of Research? , 2009 .

[27]  R. Priestley,et al.  Time-Varying Risk Premiums and the Output Gap , 2009 .

[28]  Guofu Zhou,et al.  Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy , 2009 .

[29]  D. Hirshleifer,et al.  Accruals, cash flows, and aggregate stock returns , 2009 .

[30]  Jules H. van Binsbergen,et al.  Predictive Regressions: A Present-Value Approach , 2009 .

[31]  Pietro Veronesi,et al.  Learning in Financial Markets , 2009 .

[32]  Massimo Guidolin,et al.  Non-Linear Predictability in Stock and Bond Returns: When and Where is it Exploitable? , 2009 .

[33]  M. Halling,et al.  Predictive Regressions with Time-Varying Coefficients , 2008 .

[34]  Miguel A. Ferreira,et al.  Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole , 2008 .

[35]  J. Nankervis,et al.  Predicting the Equity Premium with Dividend Ratios: Reconciling the Evidence , 2008 .

[36]  J. Bai,et al.  Forecasting economic time series using targeted predictors , 2008 .

[37]  Todd E. Clark,et al.  Improving Forecast Accuracy by Combining Recursive and Rolling Forecasts , 2008 .

[38]  S. B. Thompson,et al.  Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? , 2008 .

[39]  Erik Hjalmarsson,et al.  Predicting Global Stock Returns , 2008, Journal of Financial and Quantitative Analysis.

[40]  Tae-Hwy Lee,et al.  Nonlinear Time Series in Financial Forecasting , 2008 .

[41]  John Y. Campbell,et al.  Viewpoint: Estimating the Equity Premium , 2008 .

[42]  Michael W. McCracken Asymptotics for out of sample tests of Granger causality , 2007 .

[43]  Cheolbeom Park,et al.  What Do We Know About the Profitability of Technical Analysis? , 2007 .

[44]  Ahmed Sule,et al.  On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing , 2007 .

[45]  Francis X. Diebold,et al.  Real-Time Measurement of Business Conditions , 2007 .

[46]  Kewei Hou,et al.  Industry Information Diffusion and the Lead-Lag Effect in Stock Returns , 2007 .

[47]  A. Lo Where Do Alphas Come From?: A New Measure of the Value of Active Investment Management , 2007 .

[48]  M. Hashem Pesaran,et al.  Selection of estimation window in the presence of breaks , 2007 .

[49]  W. Torous,et al.  Do industries lead stock markets , 2007 .

[50]  Graham Elliott,et al.  Efficient Tests for General Persistent Time Variation in Regression Coefficients , 2006 .

[51]  Massimo Guidolin,et al.  Asset Allocation Under Multivariate Regime Switching , 2006 .

[52]  Jesper Rangvid Output and expected returns , 2006 .

[53]  P. Saikkonen,et al.  Why is it so difficult to uncover the risk-return tradeoff in stock returns? , 2006 .

[54]  R. Giacomini,et al.  Detecting and Predicting Forecast Breakdowns , 2006, SSRN Electronic Journal.

[55]  C. Granger,et al.  Handbook of Economic Forecasting , 2006 .

[56]  M. Wohar,et al.  Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns , 2006 .

[57]  Guofu Zhou,et al.  A New Variance Bound on the Stochastic Discount Factor , 2006 .

[58]  David E. Rapach,et al.  In-sample vs. out-of-sample tests of stock return predictability in the context of data mining , 2006 .

[59]  Hangyong Lee,et al.  Interpreting the predictive power of the consumption–wealth ratio , 2006 .

[60]  Timo Teräsvirta,et al.  Forecasting economic variables with nonlinear models , 2005 .

[61]  Todd E. Clark,et al.  Approximately Normal Tests for Equal Predictive Accuracy in Nested Models , 2005 .

[62]  M. Lettau,et al.  Reconciling the Return Predictability Evidence , 2005 .

[63]  Norman R. Swanson,et al.  Predictive Density Evaluation , 2005 .

[64]  Barbara Rossi,et al.  OPTIMAL TESTS FOR NESTED MODEL SELECTION WITH UNDERLYING PARAMETER INSTABILITY , 2005, Econometric Theory.

[65]  Jessica A. Wachter,et al.  Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? , 2005 .

[66]  Sydney C. Ludvigson,et al.  The Empirical Risk-Return Relation: A Factor Analysis Approach , 2005 .

[67]  A. Lo,et al.  Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis , 2005 .

[68]  P. Hansen A Test for Superior Predictive Ability , 2005 .

[69]  Allan Timmermann,et al.  Instability of Return Prediction Models , 2005 .

[70]  Yihong Xia,et al.  tay's as good as cay , 2005 .

[71]  Christian Lundblad,et al.  The Risk Return Tradeoff in the Long-Run: 1836-2003 , 2004 .

[72]  W. Torous,et al.  On Predicting Stock Returns with Nearly Integrated Explanatory Variables , 2004 .

[73]  J. Stock,et al.  Combination forecasts of output growth in a seven-country data set , 2004 .

[74]  Michael P. Clements,et al.  Pooling of Forecasts , 2004 .

[75]  Guofu Zhou,et al.  Data-generating process uncertainty: What difference does it make in portfolio decisions? , 2004 .

[76]  John Y. Campbell,et al.  Inflation Illusion and Stock Prices , 2004, American Economic Review.

[77]  G. Janacek Non‐linear Time Series Models in Empirical Finance , 2003 .

[78]  Ben Jacobsen,et al.  Striking Oil: Another Puzzle? , 2003 .

[79]  Doron Avramov,et al.  Stock Return Predictability and Asset Pricing Models , 2003 .

[80]  Alexander W. Butler,et al.  Can Managers Forecast Aggregate Market Returns? , 2003 .

[81]  Rossen Valkanov Long-horizon regressions: theoretical results and applications , 2003 .

[82]  M. Hashem Pesaran,et al.  How Costly is it to Ignore Breaks When Forecasting the Direction of a Time Series? , 2003, SSRN Electronic Journal.

[83]  A. Timmermann,et al.  Market timing and return prediction under model instability , 2002 .

[84]  Clifford M. Hurvich,et al.  Predictive Regressions: A Reduced-Bias Estimation Method , 2002, Journal of Financial and Quantitative Analysis.

[85]  L. Kilian,et al.  In-Sample or Out-of-Sample Tests of Predictability: Which One Should We Use? , 2002, SSRN Electronic Journal.

[86]  C. Granger,et al.  Efficient Market Hypothesis and Forecasting , 2002 .

[87]  J. Lewellen,et al.  Predicting Returns with Financial Ratios , 2002 .

[88]  Andrew Ang,et al.  International Asset Allocation With Regime Shifts , 2002 .

[89]  Sergei Sarkissian,et al.  Spurious Regressions in Financial Economics? , 2002 .

[90]  Hui Guo,et al.  On the Out-of-Sample Predictability of Stock Market Returns , 2002 .

[91]  Yexiao Xu,et al.  Small Levels of Predictability and Large Economic Gains , 2002 .

[92]  Marno Verbeek,et al.  The Economic Value of Predicting Stock Index Returns and Volatility , 2001, Journal of Financial and Quantitative Analysis.

[93]  Allan Timmermann,et al.  Dangers of data mining: the case of calendar effects in stock returns , 2001 .

[94]  Doron Avramov,et al.  Stock Return Predictability and Model Uncertainty , 2001 .

[95]  Andrew Ang,et al.  Stock Return Predictability: Is it There? , 2001 .

[96]  Pietro Veronesi,et al.  Labor Income and Predictable Stock Returns , 2001 .

[97]  Ravi Bansal,et al.  Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles , 2000 .

[98]  H. White,et al.  A Reality Check for Data Snooping , 2000 .

[99]  Bruce E. Hansen,et al.  Testing for structural change in conditional models , 2000 .

[100]  M. Cremers Stock Return Predictability: A Bayesian Model Selection Perspective , 2000 .

[101]  Tarun Chordia,et al.  Trading Volume and Cross‐Autocorrelations in Stock Returns , 2000 .

[102]  J. Campbell Asset Pricing at the Millennium , 2000, The Journal of Finance.

[103]  N. Barberis Investing for the Long Run When Returns are Predictable , 2000 .

[104]  H. White,et al.  Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap , 1999 .

[105]  Jeffrey Wurgler,et al.  The Equity Share in New Issues and Aggregate Stock Returns , 1999 .

[106]  Todd E. Clark,et al.  Tests of Equal Forecast Accuracy and Encompassing for Nested Models , 1999 .

[107]  Donald B. Keim,et al.  Chapter 17 On the predictability of common stock returns: World-wide evidence , 1999, Finance.

[108]  Sydney C. Ludvigson,et al.  Consumption, Aggregate Wealth and Expected Stock Returns , 1999 .

[109]  P. Bossaerts,et al.  Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? , 1999 .

[110]  Jeffrey Pontiff,et al.  Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments from , 1998 .

[111]  Chris Kirby The Restrictions on Predictability Implied by Rational Asset Pricing Models , 1998 .

[112]  R. Shiller,et al.  Valuation Ratios and the Long-Run Stock Market Outlook , 1998 .

[113]  William N. Goetzmann,et al.  The Dow Theory: William Peter Hamilton's Track Record Re-Considered , 1998 .

[114]  F. Douglas Foster,et al.  Assessing goodness-of-fit of asset pricing models: The distribution of the maximal R2 , 1997 .

[115]  S. Kothari,et al.  Book-to-Market, Dividend Yield, and Expected Market Returns: A Time-Series Analysis , 1997 .

[116]  Guofu Zhou,et al.  Temporary Components of Stock Returns: What Do the Data Tell Us? , 1996 .

[117]  A. Timmermann Excess Volatility and Predictability of Stock Prices in Autoregressive Dividend Models with Learning , 1996 .

[118]  K. West,et al.  Asymptotic Inference about Predictive Ability , 1996 .

[119]  Owen A. Lamont Earnings and Expected Returns , 1996 .

[120]  Graham Elliott,et al.  Inference in Models with Nearly Integrated Regressors , 1995, Econometric Theory.

[121]  A. Timmermann,et al.  Predictability of Stock Returns: Robustness and Economic Significance , 1995 .

[122]  Robert A. Korajczyk,et al.  Do Arbitrage Pricing Models Explain the Predictability of Stock Returns? , 1995 .

[123]  J. Campbell,et al.  By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior , 1995, Journal of Political Economy.

[124]  R. Stambaugh,et al.  On the Predictability of Stock Returns: An Asset-Allocation Perspective , 1995 .

[125]  Allan Timmermann,et al.  How Learning in Financial Markets Generates Excess Volatility and Predictability in Stock Prices , 1993 .

[126]  M. Brennan,et al.  Investment Analysis and the Adjustment of Stock Prices to Common Information , 1993 .

[127]  Campbell R. Harvey,et al.  The Risk and Predictability of International Equity Returns , 1993 .

[128]  Bruno Solnik The performance of international asset allocation strategies using conditioning information , 1993 .

[129]  C. Nelson,et al.  Predictable Stock Returns: The Role of Small Sample Bias , 1993 .

[130]  William N. Goetzmann,et al.  Testing the Predictive Power of Dividend Yields , 1993 .

[131]  B. LeBaron,et al.  Simple Technical Trading Rules and the Stochastic Properties of Stock Returns , 1992 .

[132]  M. Hashem Pesaran,et al.  A Simple Nonparametric Test of Predictive Performance , 1992 .

[133]  E. Fama Efficient Capital Markets: II , 1991 .

[134]  Geert Bekaert,et al.  Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets , 1991 .

[135]  R. Hodrick Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement , 1991 .

[136]  Campbell R. Harvey The World Price of Covariance Risk , 1991 .

[137]  Campbell R. Harvey,et al.  The Variation of Economic Risk Premiums , 1990, Journal of Political Economy.

[138]  L. Glosten,et al.  Economic Significance of Predictable Variations in Stock Index Returns , 1989 .

[139]  Yasushi Hamao,et al.  Predictable Stock Returns in the United States and Japan: a Study of Long-Term Capital Market Integration , 1989 .

[140]  E. Fama,et al.  BUSINESS CONDITIONS AND EXPECTED RETURNS ON STOCKS AND BONDS , 1989 .

[141]  A. Lo,et al.  Data-Snooping Biases in Tests of Financial Asset Pricing Models , 1989 .

[142]  A. Lo,et al.  When are Contrarian Profits Due to Stock Market Overreaction? , 1989 .

[143]  James D. Hamilton A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle , 1989 .

[144]  E. Fama,et al.  Dividend yields and expected stock returns , 1988 .

[145]  R. Shiller,et al.  Stock Prices, Earnings and Expected Dividends , 1988 .

[146]  R. Cumby,et al.  Testing for market timing ability: A framework for forecast evaluation , 1987 .

[147]  R. Shiller,et al.  The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .

[148]  J. Campbell Stock Returns and the Term Structure , 1985 .

[149]  Michael S. Rozeff Dividend yields are equity risk premiums , 1984 .

[150]  Kenneth S. Rogoff,et al.  Exchange rate models of the seventies. Do they fit out of sample , 1983 .

[151]  G. William Schwert,et al.  Asset returns and inflation , 1977 .

[152]  Charles R. Nelson,et al.  Inflation and Rates of Return on Common Stocks , 1976 .

[153]  Michael C. Jensen,et al.  Random Walks and Technical Theories: Some Additional Evidence , 1970 .

[154]  E. Fama,et al.  EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* , 1970 .

[155]  J. M. Bates,et al.  The Combination of Forecasts , 1969 .

[156]  A. Cowles Can Stock Market Forecasters Forecast , 1933 .

[157]  R. Batchelor Accuracy versus Profitability , 2011 .

[158]  Mark Britten-Jones Improved Inference and Estimation in Regression With Overlapping Observations , 2010 .

[159]  Yi Wang,et al.  Multiple-Predictor Regressions: Hypothesis Testing , 2009 .

[160]  Allan Timmermann,et al.  Elusive Return Predictability , 2008 .

[161]  Turan G. Bali THE INTERTEMPORAL RELATION BETWEEN EXPECTED RETURNS AND RISK , 2008 .

[162]  Halbert White,et al.  Approximate Nonlinear Forecasting Methods , 2006 .

[163]  Michael P. Clements,et al.  Forecasting with Breaks , 2006 .

[164]  F. Diebold,et al.  VOLATILITY AND CORRELATION FORECASTING , 2006 .

[165]  C. Granger,et al.  Forecasting and Decision Theory , 2006 .

[166]  J. Stock,et al.  Forecasting with Many Predictors , 2006 .

[167]  Todd E. Clark,et al.  The power of tests of predictive ability in the presence of structural breaks , 2005 .

[168]  M. Wohar,et al.  Macro variables and international stock return predictability , 2005 .

[169]  Federal Reserve Board , 2005 .

[170]  J. Bai,et al.  Inferential Theory for Factor Models of Large Dimensions , 2003 .

[171]  Ľuboš Pástor,et al.  The Rodney L. White Center for Financial Research , 2001 .

[172]  Michael W. Brandt,et al.  The Rodney L. White Center for Financial Research Variable Selection for Portfolio Choice , 2001 .

[173]  P. Perron,et al.  Computation and Analysis of Multiple Structural-Change Models , 1998 .

[174]  P. Perron,et al.  Estimating and testing linear models with multiple structural changes , 1995 .

[175]  Gordon Leitch,et al.  Economic Forecast Evaluation: Profits versus the Conventional Error Measures , 1991 .

[176]  George L. Nemhauser,et al.  Handbooks in operations research and management science , 1989 .

[177]  E. Fama,et al.  Filter Rules and Stock-Market Trading , 1966 .