-
1
-
-
22944437439
-
Model uncertainty, thickmodelling and the predictability of stock returns
-
Aiolfi,M., and C. A. Favero. 2005. Model Uncertainty, ThickModelling and the Predictability of Stock Returns. Journal of Forecasting 24:233-254
-
(2005)
Journal of Forecasting
, vol.24
, pp. 233-254
-
-
Aiolfi, M.1
Favero, C.A.2
-
3
-
-
33644514387
-
What does the yield curve tell us about GDP growth?
-
Ang, A., M. Piazessi, and M. Wei. 2006. What Does the Yield Curve Tell Us About GDP Growth? Journal of Econometrics 131:359-403.
-
(2006)
Journal of Econometrics
, vol.131
, pp. 359-403
-
-
Ang, A.1
Piazessi, M.2
Wei, M.3
-
4
-
-
0036335816
-
Stock return predictability andmodel uncertainty
-
Avramov, D. 2002. Stock Return Predictability andModel Uncertainty. Journal of Financial Economics 64:423-458
-
(2002)
Journal of Financial Economics
, vol.64
, pp. 423-458
-
-
Avramov, D.1
-
5
-
-
0346906789
-
Estimating and testing linear models with multiple structural changes
-
Bai, J., and P. Perron. 1998. Estimating and Testing Linear Models with Multiple Structural Changes. Econometrica 66:47-78.
-
(1998)
Econometrica
, vol.66
, pp. 47-78
-
-
Bai, J.1
Perron, P.2
-
6
-
-
0037286212
-
Computation and analysis of multiple structural change models
-
Bai, J., and P. Perron. 2003. Computation and Analysis of Multiple Structural Change Models. Journal of Applied Econometrics 18:1-22.
-
(2003)
Journal of Applied Econometrics
, vol.18
, pp. 1-22
-
-
Bai, J.1
Perron, P.2
-
7
-
-
0040435486
-
The equity share in new issues and aggregate stock returns
-
Baker, M., and J. Wurgler. 2000. The Equity Share in New Issues and Aggregate Stock Returns. Journal of Finance 55:2219-2257
-
(2000)
Journal of Finance
, vol.55
, pp. 2219-2257
-
-
Baker, M.1
Wurgler, J.2
-
9
-
-
0033409775
-
Implementing statistical criteria to select return forecasting models: What do we learn?
-
Bossaerts, P., and P. Hillion. 1999. Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn? Review of Financial Studies 12:405-428
-
(1999)
Review of Financial Studies
, vol.12
, pp. 405-428
-
-
Bossaerts, P.1
Hillion, P.2
-
10
-
-
33947192951
-
On the importance of measuring payout yield: Implications for empirical asset pricing
-
Boudoukh, J., R. Michaely, M. P. Richardson, and M. R. Roberts. 2007. On the Importance ofMeasuring Payout Yield: Implications for Empirical Asset Pricing. Journal of Finance 62:877-915.
-
(2007)
Journal of Finance
, vol.62
, pp. 877-915
-
-
Boudoukh, J.1
Michaely, R.2
Richardson, M.P.3
Roberts, M.R.4
-
12
-
-
84977723932
-
Economic significance of predictable variations in stock index returns
-
Breen, W., L. R. Glosten, and R. Jagannathan. 1989. Economic Significance of Predictable Variations in Stock Index Returns. Journal of Finance 64:1177-1189
-
(1989)
Journal of Finance
, vol.64
, pp. 1177-1189
-
-
Breen, W.1
Glosten, L.R.2
Jagannathan, R.3
-
13
-
-
0344839169
-
Stock returns and the term structure
-
Campbell, J. Y. 1987. Stock Returns and the Term Structure. Journal of Financial Economics 18:373-399
-
(1987)
Journal of Financial Economics
, vol.18
, pp. 373-399
-
-
Campbell, J.Y.1
-
14
-
-
0040291438
-
Asset pricing at the millennium
-
Campbell, J. Y. 2000. Asset Pricing at the Millennium. Journal of Finance 55:1515-1567
-
(2000)
Journal of Finance
, vol.55
, pp. 1515-1567
-
-
Campbell, J.Y.1
-
15
-
-
38049152612
-
Viewpoint: Estimating the equity premium
-
Campbell, J. Y. 2008. Viewpoint: Estimating the Equity Premium. Canadian Journal of Economics 41:1-21.
-
(2008)
Canadian Journal of Economics
, vol.41
, pp. 1-21
-
-
Campbell, J.Y.1
-
16
-
-
0032771542
-
By force of habit: A consumption-based explanation of aggregate stock market behavior
-
Campbell, J. Y., and J. H. Cochrane. 1999. By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior. Journal of Political Economy 107:205-251
-
(1999)
Journal of Political Economy
, vol.107
, pp. 205-251
-
-
Campbell, J.Y.1
Cochrane, J.H.2
-
17
-
-
84977717068
-
Stock prices, earnings, and expected dividends
-
Campbell, J. Y., and R. J. Shiller. 1988. Stock Prices, Earnings, and Expected Dividends. Journal of Finance 43:661-676
-
(1988)
Journal of Finance
, vol.43
, pp. 661-676
-
-
Campbell, J.Y.1
Shiller, R.J.2
-
19
-
-
49449084242
-
Predicting the equity premium out of sample: Can anything beat the historical average?
-
Campbell, J. Y., and S. B. Thompson. 2008. Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average? Review of Financial Studies 21:1509-1531
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1509-1531
-
-
Campbell, J.Y.1
Thompson, S.B.2
-
21
-
-
84962992067
-
Econometric evaluation of linear macro-econometric models
-
Chong, Y. Y., and D. F. Hendry. 1986. Econometric Evaluation of Linear Macro-Econometric Models. Review of Economic Studies 53:671-690
-
(1986)
Review of Economic Studies
, vol.53
, pp. 671-690
-
-
Chong, Y.Y.1
Hendry, D.F.2
-
22
-
-
0003047270
-
Tests of equal forecast accuracy and encompassing for nested models
-
Clark, T. E., and M. W. McCracken. 2001. Tests of Equal Forecast Accuracy and Encompassing for Nested Models. Journal of Econometrics 105:85-110.
-
(2001)
Journal of Econometrics
, vol.105
, pp. 85-110
-
-
Clark, T.E.1
McCracken, M.W.2
-
23
-
-
33947513916
-
Approximately normal tests for equal predictive accuracy innestedmodels
-
Clark, T. E., andK. D.West. 2007. Approximately Normal Tests for Equal Predictive Accuracy inNestedModels. Journal of Econometrics 138:291-311.
-
(2007)
Journal of Econometrics
, vol.138
, pp. 291-311
-
-
Clark, T.E.1
West, K.D.2
-
24
-
-
38349034396
-
Forecasting with breaks
-
G. Elliott, C. W. J. Granger, and A. Timmermann (eds.). Amsterdam, The Netherlands: Elsevier
-
Clements, M. P., and D. F. Hendry. 2006. Forecasting with Breaks, in G. Elliott, C. W. J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting. Amsterdam, The Netherlands: Elsevier.
-
(2006)
Handbook of Economic Forecasting
-
-
Clements, M.P.1
Hendry, D.F.2
-
25
-
-
84977708733
-
Production-based asset pricing and the link between stock returns and economic fluctuations
-
Cochrane, J. H. 1991. Production-Based Asset Pricing and the Link between Stock Returns and Economic Fluctuations. Journal of Finance 46:209-237
-
(1991)
Journal of Finance
, vol.46
, pp. 209-237
-
-
Cochrane, J.H.1
-
26
-
-
0002429944
-
New facts in finance. Federal reserve bank of Chicago
-
Cochrane, J. H. 1999. New Facts in Finance. Federal Reserve Bank of Chicago. Economic Perspectives 23:36-58.
-
(1999)
Economic Perspectives
, vol.23
, pp. 36-58
-
-
Cochrane, J.H.1
-
27
-
-
50249094621
-
Financial markets and the real economy
-
R. Mehra (ed.). Amsterdam, The Netherlands: Elsevier
-
Cochrane, J. H. 2007. Financial Markets and the Real Economy, in R. Mehra (ed.), Handbook of the Equity Premium. Amsterdam, The Netherlands: Elsevier.
-
(2007)
Handbook of the Equity Premium
-
-
Cochrane, J.H.1
-
28
-
-
49449103299
-
The dog that did not bark: A defense of return predictability
-
Cochrane, J. H. 2008. The Dog That Did Not Bark: A Defense of Return Predictability. Review of Financial Studies 21:1533-1575
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1533-1575
-
-
Cochrane, J.H.1
-
29
-
-
0344685284
-
Stock return predictability: A bayesian model selection perspective
-
Cremers, K. J. M. 2002. Stock Return Predictability: A Bayesian Model Selection Perspective. Review of Financial Studies 15:1223-1249
-
(2002)
Review of Financial Studies
, vol.15
, pp. 1223-1249
-
-
Cremers, K.J.M.1
-
30
-
-
76549131880
-
Predictive regressions with time-varying coefficients
-
University of Utah
-
Dangl, T., and M. Halling. 2007. Predictive Regressions with Time-Varying Coefficients. Working Paper, University of Utah.
-
(2007)
Working Paper
-
-
Dangl, T.1
Halling, M.2
-
34
-
-
84977702570
-
The term structure as predictor of real economic activity
-
Estrella, A., and G. A. Hardouvelis. 1991. The Term Structure as Predictor of Real Economic Activity. Journal of Finance 46:555-576
-
(1991)
Journal of Finance
, vol.46
, pp. 555-576
-
-
Estrella, A.1
Hardouvelis, G.A.2
-
35
-
-
0000128090
-
Comparing information in forecasts from econometric models
-
Fair, R. C., and R. J. Shiller. 1990. Comparing Information in Forecasts from Econometric Models. American Economic Review 80:375-389
-
(1990)
American Economic Review
, vol.80
, pp. 375-389
-
-
Fair, R.C.1
Shiller, R.J.2
-
37
-
-
34250890715
-
Business conditions and expected returns on stocks and bonds
-
Fama, E. F., and K. R. French. 1989. Business Conditions and Expected Returns on Stocks and Bonds. Journal of Financial Economics 25:23-49.
-
(1989)
Journal of Financial Economics
, vol.25
, pp. 23-49
-
-
Fama, E.F.1
French, K.R.2
-
38
-
-
38549147867
-
Common risk factors in the returns on stocks and bonds
-
Fama, E. F., and K. R. French. 1993. Common Risk Factors in the Returns on Stocks and Bonds. Journal of Financial Economics 33:3-56.
-
(1993)
Journal of Financial Economics
, vol.33
, pp. 3-56
-
-
Fama, E.F.1
French, K.R.2
-
40
-
-
0038002643
-
Predicting the equity premium with dividend ratios
-
Goyal, A., and I. Welch. 2003. Predicting the Equity Premium with Dividend Ratios. Management Science 49:639-654
-
(2003)
Management Science
, vol.49
, pp. 639-654
-
-
Goyal, A.1
Welch, I.2
-
41
-
-
30744454344
-
On the out-of-sample predictability of stock market returns
-
Guo, H. 2006. On the Out-of-Sample Predictability of Stock Market Returns. Journal of Business 79:645-670
-
(2006)
Journal of Business
, vol.79
, pp. 645-670
-
-
Guo, H.1
-
42
-
-
0003373717
-
Forecasts of economic growth from stock and bond markets
-
Harvey, C. R. 1989. Forecasts of Economic Growth from Stock and Bond Markets. Financial Analysts Journal 45:38-45.
-
(1989)
Financial Analysts Journal
, vol.45
, pp. 38-45
-
-
Harvey, C.R.1
-
43
-
-
0039547861
-
The term structure forecasts economic growth
-
Harvey, C. R. 1993. The Term Structure Forecasts Economic Growth. Financial Analysts Journal 49:6-8.
-
(1993)
Financial Analysts Journal
, vol.49
, pp. 6-8
-
-
Harvey, C.R.1
-
46
-
-
76549126440
-
To combine forecasts or to combine information
-
forthcoming
-
Huang, H., and T.-H. Lee. 2009. To Combine Forecasts or To Combine Information. Econometric Reviews, forthcoming.
-
(2009)
Econometric Reviews
-
-
Huang, H.1
Lee, T.-H.2
-
48
-
-
0031138827
-
Book-to-market,dividendyield, and expected market returns: A time-series analysis
-
Kothari, S., and J. Shanken. 1997. Book-to-Market,DividendYield, and Expected Market Returns:ATime-Series Analysis. Journal of Financial Economics 44:169-203.
-
(1997)
Journal of Financial Economics
, vol.44
, pp. 169-203
-
-
Kothari, S.1
Shanken, J.2
-
49
-
-
0012462939
-
Consumption, aggregate wealth, and expected stock returns
-
Lettau, M., and S. C. Ludvigson. 2001. Consumption, Aggregate Wealth, and Expected Stock Returns. Journal of Finance 56:815-849 (Pubitemid 33581666)
-
(2001)
Journal of Finance
, vol.56
, Issue.3
, pp. 815-849
-
-
Lettau, M.1
Ludvigson, S.2
-
51
-
-
0000473546
-
Can book-to-market, size, and momentum be risk factors that explain economic growth
-
Liew, J., and M. Vassalou. 2000. Can Book-to-Market, Size, and Momentum Be Risk Factors That Explain Economic Growth. Journal of Financial Economics 57:221-245
-
(2000)
Journal of Financial Economics
, vol.57
, pp. 221-245
-
-
Liew, J.1
Vassalou, M.2
-
52
-
-
33845316866
-
The empirical risk-return relation: A factor analysis approach
-
Ludvigson, S. C., and S. Ng. 2007. The Empirical Risk-Return Relation: A Factor Analysis Approach. Journal of Financial Econometrics 83:171-222.
-
(2007)
Journal of Financial Econometrics
, vol.83
, pp. 171-222
-
-
Ludvigson, S.C.1
Ng, S.2
-
53
-
-
42449092379
-
Improved forecasting of mutual fund alphas and betas
-
Mamaysky, H.,M. Spiegel, and H. Zhang. 2007. Improved Forecasting ofMutual Fund Alphas and Betas. Review of Finance 11:359-400.
-
(2007)
Review of Finance
, vol.11
, pp. 359-400
-
-
Spiegel, M.M.H.1
Zhang, H.2
-
56
-
-
34547650757
-
Asymptotics for out of sample tests of granger causality
-
McCracken, M. W. 2007. Asymptotics for Out of Sample Tests of Granger Causality. Journal of Econometrics 140:719-752
-
(2007)
Journal of Econometrics
, vol.140
, pp. 719-752
-
-
McCracken, M.W.1
-
57
-
-
84944829972
-
Inflation and the rates of return on common stock
-
Nelson, C. R. 1976. Inflation and the Rates of Return on Common Stock. Journal of Finance 31:471-483
-
(1976)
Journal of Finance
, vol.31
, pp. 471-483
-
-
Nelson, C.R.1
-
58
-
-
0000706085
-
A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix
-
Newey, W. K., and K. D. West. 1987. A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix. Econometrica 55:703-708
-
(1987)
Econometrica
, vol.55
, pp. 703-708
-
-
Newey, W.K.1
West, K.D.2
-
59
-
-
0040925670
-
The equity premium and structural breaks
-
Ṕastor, L., and R. F. Stambaugh. 2001. The Equity Premium and Structural Breaks. Journal of Finance 56:1207-1239
-
(2001)
Journal of Finance
, vol.56
, pp. 1207-1239
-
-
Ṕastor, L.1
Stambaugh, R.F.2
-
60
-
-
68249134053
-
Predictive systems: Living with imperfect predictors
-
Ṕastor, L., and R. F. Stambaugh. 2009. Predictive Systems: Living with Imperfect Predictors. Journal of Finance 641583-628.
-
(2009)
Journal of Finance
, pp. 641583-641628
-
-
Ṕastor, L.1
Stambaugh, R.F.2
-
63
-
-
84993877356
-
Predictability of stock returns: Robustness and economic significance
-
Pesaran, M. H., and A. Timmermann. 1995. Predictability of Stock Returns: Robustness and Economic Significance. Journal of Finance 50:1201-1228
-
(1995)
Journal of Finance
, vol.50
, pp. 1201-1228
-
-
Pesaran, M.H.1
Timmermann, A.2
-
65
-
-
76549118279
-
Return predictability under equilibrium constraints on the equity premium
-
University of California at San Diego
-
Pettenuzzo, D., A. Timmermann, R. Valkanov, and R. Wu. 2008. Return Predictability under Equilibrium Constraints on the Equity Premium. Working Paper, University of California at San Diego.
-
(2008)
Working Paper
-
-
Pettenuzzo, D.1
Timmermann, A.2
Valkanov, R.3
Wu, R.4
-
66
-
-
0002215433
-
Book-to-market ratios as predictors of market returns
-
Pontiff, J., and L. D. Schall. 1998. Book-to-Market Ratios as Predictors of Market Returns. Journal of Financial Economics 49:141-160
-
(1998)
Journal of Financial Economics
, vol.49
, pp. 141-160
-
-
Pontiff, J.1
Schall, L.D.2
-
67
-
-
33646184011
-
Structural breaks and predictive regression models of aggregate U.S. stock returns
-
Rapach, D. E.. and M. E. Wohar. 2006a. Structural Breaks and Predictive Regression Models of Aggregate U.S. Stock Returns. Journal of Financial Econometrics 4:238-274
-
(2006)
Journal of Financial Econometrics
, vol.4
, pp. 238-274
-
-
Wohar, M.E.1
-
68
-
-
33344454502
-
In-sample vs. Out-of-sample tests of stock return predictability in the context of data mining
-
Rapach, D. E., and M. E. Wohar. 2006b. In-Sample vs. Out-of-Sample Tests of Stock Return Predictability in the Context of Data Mining. Journal of Empirical Finance 13:231-247
-
(2006)
Journal of Empirical Finance
, vol.13
, pp. 231-247
-
-
Rapach, D.E.1
Wohar, M.E.2
-
69
-
-
49449094282
-
Forecasting the equity premium: Where we stand today
-
Spiegel, M. 2008. Forecasting the Equity Premium: Where We Stand Today. Review of Financial Studies 21:1453-1454
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1453-1454
-
-
Spiegel, M.1
-
71
-
-
0030528942
-
Evidence on structural instability in macroeconomic time series relations
-
Stock, J. H., and M. W. Watson. 1996. Evidence on Structural Instability in Macroeconomic Time Series Relations. Journal of Business and Economic Statistics 14:11-29.
-
(1996)
Journal of Business and Economic Statistics
, vol.14
, pp. 11-29
-
-
Stock, J.H.1
Watson, M.W.2
-
73
-
-
2442579426
-
Forecasting output and inflation: The role of asset prices
-
Stock, J. H., and M. W. Watson. 2003. Forecasting Output and Inflation: The Role of Asset Prices. Journal of Economic Literature 41:788-829.
-
(2003)
Journal of Economic Literature
, vol.41
, pp. 788-829
-
-
Stock, J.H.1
Watson, M.W.2
-
74
-
-
4744365124
-
Combination forecasts of output growth in a seven-country data set
-
Stock, J. H., and M. W. Watson. 2004. Combination Forecasts of Output Growth in a Seven-Country Data Set. Journal of Forecasting 23:405-430
-
(2004)
Journal of Forecasting
, vol.23
, pp. 405-430
-
-
Stock, J.H.1
Watson, M.W.2
-
75
-
-
67649342377
-
Forecasting with many predictors
-
G. Elliott, C. W. J. Granger, and A. Timmermann (eds.). Amsterdam, The Netherlands: Elsevier
-
Stock, J. H., and M. W. Watson. 2006. Forecasting with Many Predictors, in G. Elliott, C. W. J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting. Amsterdam, The Netherlands: Elsevier.
-
(2006)
Handbook of Economic Forecasting
-
-
Stock, J.H.1
Watson, M.W.2
-
77
-
-
33846101251
-
Forecast combinations
-
G. Elliott, C. W. J. Granger, and A. Timmermann (eds.). Amsterdam, The Netherlands: Elsevier
-
Timmermann, A. 2006. Forecast Combinations, in G. Elliott, C. W. J. Granger, and A. Timmermann (eds.), Handbook of Economic Forecasting. Amsterdam, The Netherlands: Elsevier.
-
(2006)
Handbook of Economic Forecasting
-
-
Timmermann, A.1
-
80
-
-
0013049826
-
Testing for structural change in the predictability of asset returns
-
Harvard Business School
-
Viceira, L. M. 1997. Testing for Structural Change in the Predictability of Asset Returns.Working Paper, Harvard Business School.
-
(1997)
Working Paper
-
-
Viceira, L.M.1
-
81
-
-
59649118020
-
Predictable returns and asset allocation: Should a skeptical investor time the market?
-
Wachter, J. A., and M. Warusawitharana. 2009. Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market? Journal of Econometrics 148:162-178
-
(2009)
Journal of Econometrics
, vol.148
, pp. 162-178
-
-
Wachter, J.A.1
Warusawitharana, M.2
-
82
-
-
49449095257
-
A comprehensive look at the empirical performance of equity premium prediction
-
Welch, I., and A. Goyal. 2008. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. Review of Financial Studies 21:1455-1508
-
(2008)
Review of Financial Studies
, vol.21
, pp. 1455-1508
-
-
Welch, I.1
Goyal, A.2
-
83
-
-
0030353235
-
Asymptotic inference about predictive ability
-
West, K. D. 1996. Asymptotic Inference About Predictive Ability. Econometrica 64:1067-1084
-
(1996)
Econometrica
, vol.64
, pp. 1067-1084
-
-
West, K.D.1
|