Are Cross-Sectional Predictors Good Market-Level Predictors?
暂无分享,去创建一个
[1] W. Drobetz,et al. Data Snooping in Equity Premium Prediction , 2019, International Journal of Forecasting.
[2] Travis L. Johnson. A Fresh Look at Return Predictability Using a More Efficient Estimator , 2018 .
[3] Quan Wen. Asset Growth and Stock Market Returns: A Time-Series Analysis* , 2018, Review of Finance.
[4] Joseph Engelberg,et al. Anomalies and News , 2017, The Journal of Finance.
[5] John R. M. Hand,et al. The Characteristics that Provide Independent Information about Average U.S. Monthly Stock Returns , 2016 .
[6] Guofu Zhou,et al. Short Interest and Aggregate Stock Returns , 2016 .
[7] Joseph P. Romano,et al. Efficient Computation of Adjusted P-Values for Resampling-Based Stepdown Multiple Testing , 2016 .
[8] Laura Veldkamp,et al. A Rational Theory of Mutual Funds' Attention Allocation , 2015 .
[9] Guofu Zhou,et al. Upper Bounds on Return Predictability , 2015, Journal of Financial and Quantitative Analysis.
[10] Jeffrey Pontiff,et al. Does Academic Research Destroy Stock Return Predictability? , 2015 .
[11] Campbell R. Harvey,et al. . . . And the Cross-Section of Expected Returns , 2014 .
[12] Guofu Zhou,et al. Forecasting the Equity Risk Premium: The Role of Technical Indicators , 2011, Manag. Sci..
[13] Guofu Zhou. How Much Stock Return Predictability Can We Expect From an Asset Pricing Model , 2010 .
[14] D. Hirshleifer,et al. Accruals, cash flows, and aggregate stock returns , 2009 .
[15] Bruce D. Phelps. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction , 2009 .
[16] S. B. Thompson,et al. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? , 2008 .
[17] W. Sharpe,et al. Capital Asset Prices: A Theory of Market Equilibrium under Conditions of Risk , 2007 .
[18] Todd E. Clark,et al. Approximately Normal Tests for Equal Predictive Accuracy in Nested Models , 2005 .
[19] P. Hansen. A Test for Superior Predictive Ability , 2005 .
[20] I. Welch,et al. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction II , 2004, SSRN Electronic Journal.
[21] Michael J. Cooper,et al. Is Time-Series Based Predictability Evident in Real Time? , 2004 .
[22] Michael Wolf,et al. Centre De Referència En Economia Analítica Barcelona Economics Working Paper Series Working Paper Nº 17 Stewise Multiple Testing as Formalized Data Snooping Stepwise Multiple Testing as Formalized Data Snooping , 2022 .
[23] J. Lewellen,et al. Predicting Returns with Financial Ratios , 2002 .
[24] Richard Roll,et al. Orderimbalance, Liquidity and Market Returns , 2001 .
[25] H. White,et al. A Reality Check for Data Snooping , 2000 .
[26] Jeffrey Wurgler,et al. The Equity Share in New Issues and Aggregate Stock Returns , 1999 .
[27] H. White,et al. Data‐Snooping, Technical Trading Rule Performance, and the Bootstrap , 1999 .
[28] R. Stambaugh,et al. Predictive Regressions , 1999 .
[29] P. Bossaerts,et al. Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? , 1999 .
[30] Jeffrey Pontiff,et al. Book-to-market ratios as predictors of market returns 1 This paper has benefited from comments from , 1998 .
[31] F. Douglas Foster,et al. Assessing goodness-of-fit of asset pricing models: The distribution of the maximal R2 , 1997 .
[32] J. Berk. A Critique of Size-Related Anomalies , 1995 .
[33] Joseph P. Romano,et al. The stationary bootstrap , 1994 .
[34] T. Gibson. The Pitfalls of Speculation , 1994 .
[35] William N. Goetzmann,et al. Testing the Predictive Power of Dividend Yields , 1993 .
[36] C. Nelson,et al. Predictable Stock Returns: The Role of Small Sample Bias , 1993 .
[37] Narasimhan Jegadeesh,et al. Seasonality in Stock Price Mean Reversion: Evidence from the U.S. and the U.K. , 1991 .
[38] R. Hodrick. Dividend Yields and Expected Stock Returns: Alternative Procedures for Interference and Measurement , 1991 .
[39] J. Cochrane,et al. Volatility Tests and Efficient Markets: A Review Essay , 1991 .
[40] R. Shiller,et al. The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors , 1986 .
[41] W. Fuller,et al. Distribution of the Estimators for Autoregressive Time Series with a Unit Root , 1979 .
[42] R. Ball. Anomalies in relationships between securities' yields and yield-surrogates , 1978 .
[43] J. Lintner. THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .
[44] W. Sharpe. CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* , 1964 .
[45] O. J. Dunn. Multiple Comparisons among Means , 1961 .
[46] A. Cowles. Can Stock Market Forecasters Forecast , 1933 .
[47] Lu Zhang,et al. Replicating Anomalies , 2020, The Review of Financial Studies.
[48] G. William Schwert,et al. Chapter 15 Anomalies and market efficiency , 2003 .
[49] H. Nejat Seyhun,et al. The Information Content of Aggregate Insider Trading , 1988 .