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Citations for "Efficient tests of stock return predictability"

by Campbell, John & Yogo, Motohiro

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  1. Jes�s Gonzalo & Jean-Yves Pitarakis, 2011. "Regime-Specific Predictability in Predictive Regressions," Journal of Business & Economic Statistics, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(2), pages 229-241, June.
  2. Rapach, David E. & Wohar, Mark E., 2009. "Multi-period portfolio choice and the intertemporal hedging demands for stocks and bonds: International evidence," Journal of International Money and Finance, Elsevier, Elsevier, vol. 28(3), pages 427-453, April.
  3. Emmanuel Farhi & Xavier Gabaix, 2008. "Rare Disasters and Exchange Rates," NBER Working Papers, National Bureau of Economic Research, Inc 13805, National Bureau of Economic Research, Inc.
  4. Adrien Verdelhan, 2005. "A Habit-Based Explanation of the Exchange Rate Risk Premium," Boston University - Department of Economics - Working Papers Series, Boston University - Department of Economics WP2005-032, Boston University - Department of Economics.
  5. Junttila, Juha & Korhonen, Marko, 2011. "Utilizing financial market information in forecasting real growth, inflation and real exchange rate," International Review of Economics & Finance, Elsevier, Elsevier, vol. 20(2), pages 281-301, April.
  6. Wayne E. Ferson & Sergei Sarkissian & Timothy Simin, 2006. "Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression," NBER Working Papers, National Bureau of Economic Research, Inc 12658, National Bureau of Economic Research, Inc.
  7. Campbell, John & Vuolteenaho, Tuomo, 2004. "Bad Beta, Good Beta," Scholarly Articles, Harvard University Department of Economics 3122489, Harvard University Department of Economics.
  8. Barbara Rossi, 2007. "Expectations hypotheses tests at Long Horizons," Econometrics Journal, Royal Economic Society, Royal Economic Society, vol. 10(3), pages 554-579, November.
  9. Schrimpf, Andreas, 2010. "International stock return predictability under model uncertainty," Journal of International Money and Finance, Elsevier, Elsevier, vol. 29(7), pages 1256-1282, November.
  10. Martin Lettau & Sydney Ludvigson, 2003. "Expected Returns and Expected Dividend Growth," NBER Working Papers, National Bureau of Economic Research, Inc 9605, National Bureau of Economic Research, Inc.
  11. Tom Engsted & Thomas Q. Pedersen, 2009. "The dividend-price ratio does predict dividend growth: International evidence," CREATES Research Papers, School of Economics and Management, University of Aarhus 2009-36, School of Economics and Management, University of Aarhus.
  12. repec:wyi:wpaper:002011 is not listed on IDEAS
  13. Jon Faust & Jonathan H. Wright, 2008. "Efficient Prediction of Excess Returns," NBER Working Papers, National Bureau of Economic Research, Inc 14169, National Bureau of Economic Research, Inc.
  14. Erik Hjalmarsson & Par Osterholm, 2007. "A residual-based cointegration test for near unit root variables," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 907, Board of Governors of the Federal Reserve System (U.S.).
  15. Li, Jun & Yu, Jianfeng, 2012. "Investor attention, psychological anchors, and stock return predictability," Journal of Financial Economics, Elsevier, Elsevier, vol. 104(2), pages 401-419.
  16. Paulo M.M. Rodrigues & Antonio Rubia, 2011. "A Class of Robust Tests in Augmented Predictive Regressions," Working Papers, Banco de Portugal, Economics and Research Department w201126, Banco de Portugal, Economics and Research Department.
  17. Lubos Pástor & Robert F. Stambaugh, 2009. "Predictive Systems: Living with Imperfect Predictors," Journal of Finance, American Finance Association, American Finance Association, vol. 64(4), pages 1583-1628, 08.
  18. Carmona, Julio & León, Angel & Vaello-Sebastià, Antoni, 2012. "Does stock return predictability affect ESO fair value?," European Journal of Operational Research, Elsevier, Elsevier, vol. 223(1), pages 188-202.
  19. Kenneth Rogoff & Barbara Rossi & Yu-chin Chen, 2008. "Can Exchange Rates Forecast Commodity Prices?," 2008 Meeting Papers, Society for Economic Dynamics 540, Society for Economic Dynamics.
  20. Hjalmarsson, Erik, 2008. "Interpreting long-horizon estimates in predictive regressions," Finance Research Letters, Elsevier, Elsevier, vol. 5(2), pages 104-117, June.
  21. Philippe Bacchetta & Eric van Wincoop, 2006. "Incomplete information processing: a solution to the forward discount puzzle," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Jun.
  22. Hjalmarsson, Erik, 2005. "Predictive regressions with panel data," Working Papers in Economics, University of Gothenburg, Department of Economics 160, University of Gothenburg, Department of Economics.
  23. Michael Scholz & Jens Perch Nielsen & Stefan Sperlich, 2012. "Nonparametric prediction of stock returns guided by prior knowledge," Graz Economics Papers, University of Graz, Department of Economics 2012-02, University of Graz, Department of Economics.
  24. John Y. Campbell & Christopher Polk & Tuomo Vuolteenaho, 2010. "Growth or Glamour? Fundamentals and Systematic Risk in Stock Returns," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 23(1), pages 305-344, January.
  25. Missaka Warusawitharana & Jessica A. Wachter, 2009. "What is the chance that the equity premium varies over time? evidence from predictive regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-26, Board of Governors of the Federal Reserve System (U.S.).
  26. Elliott, Graham, 2011. "A control function approach for testing the usefulness of trending variables in forecast models and linear regression," Journal of Econometrics, Elsevier, Elsevier, vol. 164(1), pages 79-91, September.
  27. Michael Jansson & Marcelo J. Moreira, 2004. "Optimal Inference in Regression Models with Nearly Integrated Regressors," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 2047, Harvard - Institute of Economic Research.
  28. Meredith Beechey & Erik Hjalmarsson & Par Osterholm, 2008. "Testing the expectations hypothesis when interest rates are near integrated," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 953, Board of Governors of the Federal Reserve System (U.S.).
  29. Figuerola-Ferretti, Isabel & Gonzalo, Jesús, 2010. "Modelling and measuring price discovery in commodity markets," Journal of Econometrics, Elsevier, Elsevier, vol. 158(1), pages 95-107, September.
  30. McMillan, David G., 2013. "Consumption and stock prices: Evidence from a small international panel," Journal of Macroeconomics, Elsevier, Elsevier, vol. 36(C), pages 76-88.
  31. Jakub W. Jurek & Luis M. Viceira, 2006. "Optimal Value and Growth Tilts in Long-Horizon Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc 12017, National Bureau of Economic Research, Inc.
  32. Tom Engsted, 2014. "Fama on bubbles," CREATES Research Papers, School of Economics and Management, University of Aarhus 2014-28, School of Economics and Management, University of Aarhus.
  33. Simon Price, 2004. "UK investment and the return to equity: Q redux," Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group 87, Money Macro and Finance Research Group.
  34. Barnhart, Scott W. & Giannetti, Antoine, 2009. "Negative earnings, positive earnings and stock return predictability: An empirical examination of market timing," Journal of Empirical Finance, Elsevier, Elsevier, vol. 16(1), pages 70-86, January.
  35. Robin Greenwood & Andrei Shleifer, . "Expectations of Returns and Expected Returns," Working Paper, Harvard University OpenScholar 102501, Harvard University OpenScholar.
  36. Didier, Tatiana & Lowenkron, Alexandre, 2009. "The current account as a dynamic portfolio choice problem," Policy Research Working Paper Series, The World Bank 4861, The World Bank.
  37. Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  38. Philippe Bacchetta & Eric van Wincoop, 2005. "Rational Inattention: A Solution to the Forward Discount Puzzle," FAME Research Paper Series, International Center for Financial Asset Management and Engineering rp156, International Center for Financial Asset Management and Engineering.
  39. Katsumi Shimotsu & Alex Maynard, 2004. "Covariance-based orthogonality tests for regressors with unknown persistence," Econometric Society 2004 Far Eastern Meetings, Econometric Society 518, Econometric Society.
  40. Borja Larrain & Motohiro Yogo, 2007. "Does Firm Value Move Too Much to be Justified by Subsequent Changes in Cash Flow?," NBER Working Papers, National Bureau of Economic Research, Inc 12847, National Bureau of Economic Research, Inc.
  41. Geert Bekaert & Eric Engstrom & Steven R. Grenadier, 2006. "Stock and Bond Returns with Moody Investors," NBER Working Papers, National Bureau of Economic Research, Inc 12247, National Bureau of Economic Research, Inc.
  42. Ang, Andrew & Liu, Jun, 2007. "Risk, return, and dividends," Journal of Financial Economics, Elsevier, Elsevier, vol. 85(1), pages 1-38, July.
  43. Guillaume Chevillon & Sophocles Mavroeidis, 2013. "Learning generates Long Memory," Post-Print, HAL hal-00661012, HAL.
  44. Michelfelder, Richard A. & Pilotte, Eugene A., 2011. "Treasury Bond risk and return, the implications for the hedging of consumption and lessons for asset pricing," Journal of Economics and Business, Elsevier, Elsevier, vol. 63(6), pages 582-604.
  45. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2008. "Idiosyncratic volatility and equity returns: UK evidence," International Review of Financial Analysis, Elsevier, Elsevier, vol. 17(3), pages 539-556, June.
  46. Chen, Nan-Kuang & Chen, Shiu-Sheng & Chou, Yu-Hsi, 2013. "Further evidence on bear market predictability: The role of the external finance premium," MPRA Paper, University Library of Munich, Germany 49093, University Library of Munich, Germany.
  47. Frederico Belo & Pierre Collin-Dufresne & Robert S. Goldstein, 2012. "Endogenous Dividend Dynamics and the Term Structure of Dividend Strips," NBER Working Papers, National Bureau of Economic Research, Inc 18450, National Bureau of Economic Research, Inc.
  48. John Y. Campbell & Samuel B. Thompson, 2005. "Predicting the Equity Premium Out of Sample: Can Anything Beat the Historical Average?," NBER Working Papers, National Bureau of Economic Research, Inc 11468, National Bureau of Economic Research, Inc.
  49. Erik Hjalmarsson, 2006. "Fully modified estimation with nearly integrated regressors," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 854, Board of Governors of the Federal Reserve System (U.S.).
  50. repec:wyi:journl:002108 is not listed on IDEAS
  51. Jules H. van Binsbergen & Michael W. Brandt & Ralph S.J. Koijen, 2006. "Optimal Decentralized Investment Management," NBER Working Papers, National Bureau of Economic Research, Inc 12144, National Bureau of Economic Research, Inc.
  52. Engsted, Tom & Pedersen, Thomas Q., 2012. "Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model," Journal of Empirical Finance, Elsevier, Elsevier, vol. 19(2), pages 241-253.
  53. Marie Brière & Ombretta Signori, 2011. "Inflation hedging portfolios in different regimes," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements (ed.), Portfolio and risk management for central banks and sovereign wealth funds, volume 58, pages 139-163 Bank for International Settlements.
  54. Gourinchas, Pierre-Olivier & Rey, Hélène, 2005. "International Financial Adjustment," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4923, C.E.P.R. Discussion Papers.
  55. Fan, Qinbin & Jahan-Parvar, Mohammad R., 2009. "US Industry-Level Returns and Oil Prices," MPRA Paper, University Library of Munich, Germany 15670, University Library of Munich, Germany.
  56. Hjalmarsson, Erik, 2010. "Predicting Global Stock Returns," Journal of Financial and Quantitative Analysis, Cambridge University Press, Cambridge University Press, vol. 45(01), pages 49-80, February.
  57. Kurozumi, Eiji & Aono, Kohei, 2013. "Estimation And Inference In Predictive Regressions," Hitotsubashi Journal of Economics, Hitotsubashi University, Hitotsubashi University, vol. 54(2), pages 231-250, December.
  58. John H. Cochrane, 2006. "The Dog That Did Not Bark: A Defense of Return Predictability," NBER Working Papers, National Bureau of Economic Research, Inc 12026, National Bureau of Economic Research, Inc.
  59. Hjalmarsson, Erik, 2005. "On the Predictability of Global Stock Returns," Working Papers in Economics, University of Gothenburg, Department of Economics 161, University of Gothenburg, Department of Economics.
  60. Westerlund, Joakim & Narayan, Paresh Kumar, 2012. "Does the choice of estimator matter when forecasting returns?," Journal of Banking & Finance, Elsevier, Elsevier, vol. 36(9), pages 2632-2640.
  61. Ferreira, Miguel A. & Santa-Clara, Pedro, 2011. "Forecasting stock market returns: The sum of the parts is more than the whole," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 514-537, June.
  62. Charlotte S. Hansen & Bjorn E. Tuypens, 2004. "Long-Run Regressions: Theory and Application to US Asset Markets," Finance, EconWPA 0410018, EconWPA.
  63. Eva Carceles Poveda & Chryssi Giannitsarou, 2006. "Asset pricing with adaptive learning," Computing in Economics and Finance 2006, Society for Computational Economics 25, Society for Computational Economics.
  64. Philippe Bacchetta & Elmar Mertens & Eric van Wincoop, 2006. "Predictability in Financial Markets: What Do Survey Expectations Tell Us?," Working Papers, Swiss National Bank, Study Center Gerzensee 06.04, Swiss National Bank, Study Center Gerzensee.
  65. Guidolin, Massimo & McMillan, David G. & Wohar, Mark E., 2013. "Time varying stock return predictability: Evidence from US sectors," Finance Research Letters, Elsevier, Elsevier, vol. 10(1), pages 34-40.
  66. Erik Hjalmarsson, 2006. "New methods for inference in long-run predictive regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 853, Board of Governors of the Federal Reserve System (U.S.).
  67. Ioannis Kasparis & Elena Andreou & Peter C. B. Phillips, 2012. "Nonparametric Predictive Regression," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics 14-2012, University of Cyprus Department of Economics.
  68. Ivo Welch & Amit Goyal, 2008. "A Comprehensive Look at The Empirical Performance of Equity Premium Prediction," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 21(4), pages 1455-1508, July.
  69. repec:wyi:journl:002203 is not listed on IDEAS
  70. Christopher Polk & Samuel Thompson & Tuomo Vuolteenaho, 2004. "New Forecasts of the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc 10406, National Bureau of Economic Research, Inc.
  71. Seongman Moon & Carlos Velasco, 2011. "Tests for m-dependence Based on Sample Splitting Methods," Working Papers, Research Institute for Market Economy, Sogang University 1108, Research Institute for Market Economy, Sogang University.
  72. repec:wyi:journl:002195 is not listed on IDEAS
  73. Ulrich Müller & Mark W. Watson, 2009. "Low-Frequency Robust Cointegration Testing," NBER Working Papers, National Bureau of Economic Research, Inc 15292, National Bureau of Economic Research, Inc.
  74. Erik Hjalmarsson, 2007. "The Stambaugh bias in panel predictive regressions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 914, Board of Governors of the Federal Reserve System (U.S.).
  75. Jeeman Jung & Robert J. Shiller, 2002. "One Simple Test of Samuelson's Dictum for the Stock Market," NBER Working Papers, National Bureau of Economic Research, Inc 9348, National Bureau of Economic Research, Inc.
  76. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2006. "The Performance of International Equity Portfolios," NBER Working Papers, National Bureau of Economic Research, Inc 12346, National Bureau of Economic Research, Inc.
  77. Miyanishi, Masako, 2012. "Testing the single-factor model in the presence of persistent regressors," Economics Letters, Elsevier, Elsevier, vol. 116(3), pages 634-636.
  78. Bovenberg, A.L. & Koijen, R.S.J. & Nijman, T.E. & Teulings, C.N., 2007. "Saving and investing over the life cycle and the role of collective pension funds," Open Access publications from Tilburg University, Tilburg University urn:nbn:nl:ui:12-301942, Tilburg University.
  79. Wright, Jonathan H. & Zhou, Hao, 2009. "Bond risk premia and realized jump risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 33(12), pages 2333-2345, December.
  80. Yu, Jialin, 2011. "Disagreement and return predictability of stock portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(1), pages 162-183, January.
  81. Schmeling, Maik, 2008. "Investor sentiment and stock returns: Some international evidence," Hannover Economic Papers (HEP), Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
  82. John Y. Campbell, 2007. "Estimating the Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc 13423, National Bureau of Economic Research, Inc.
  83. Erik Hjalmarsson & Pär Österholm, 2010. "Testing for cointegration using the Johansen methodology when variables are near-integrated: size distortions and partial remedies," Empirical Economics, Springer, Springer, vol. 39(1), pages 51-76, August.
  84. Tim Bollerslev & George Tauchen & Hao Zhou, 2009. "Expected Stock Returns and Variance Risk Premia," Review of Financial Studies, Society for Financial Studies, Society for Financial Studies, vol. 22(11), pages 4463-4492, November.
  85. Cai, Zongwu & Wang, Yunfei, 2014. "Testing predictive regression models with nonstationary regressors," Journal of Econometrics, Elsevier, Elsevier, vol. 178(P1), pages 4-14.
  86. Lewellen, Jonathan, 2004. "Predicting returns with financial ratios," Journal of Financial Economics, Elsevier, Elsevier, vol. 74(2), pages 209-235, November.
  87. Maio, Paulo & Santa-Clara, Pedro, 2012. "Multifactor models and their consistency with the ICAPM," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(3), pages 586-613.
  88. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  89. Kohei Aono & Tokuo Iwaisako, 2010. "On the Predictability of Japanese Stock Returns Using Dividend Yield," Asia-Pacific Financial Markets, Springer, Springer, vol. 17(2), pages 141-149, June.
  90. Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011. "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, American Economic Association, vol. 101(7), pages 3440-55, December.
  91. Peter Reinhard Hansen & Allan Timmermann, 2012. "Choice of Sample Split in Out-of-Sample Forecast Evaluation," CREATES Research Papers, School of Economics and Management, University of Aarhus 2012-43, School of Economics and Management, University of Aarhus.
  92. Wachter, Jessica A. & Warusawitharana, Missaka, 2009. "Predictable returns and asset allocation: Should a skeptical investor time the market?," Journal of Econometrics, Elsevier, Elsevier, vol. 148(2), pages 162-178, February.
  93. Andrew Ang & Jun Liu, 2004. "How to Discount Cashflows with Time-Varying Expected Returns," Journal of Finance, American Finance Association, American Finance Association, vol. 59(6), pages 2745-2783, December.
  94. Hjalmarsson, Erik, 2012. "Some curious power properties of long-horizon tests," Finance Research Letters, Elsevier, Elsevier, vol. 9(2), pages 81-91.
  95. Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004. "The performance of international portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 817, Board of Governors of the Federal Reserve System (U.S.).
  96. Sydney C. Ludvigson & Serena Ng, 2005. "The Empirical Risk-Return Relation: A Factor Analysis Approach," NBER Working Papers, National Bureau of Economic Research, Inc 11477, National Bureau of Economic Research, Inc.
  97. Stefano d'Addona & Axel H. Kind, 2005. "International Stock-Bond Correlations in a Simple Affine Asset Pricing Model," Finance, EconWPA 0502018, EconWPA.
  98. Jessica Wachter, 2010. "Asset Allocation," NBER Working Papers, National Bureau of Economic Research, Inc 16255, National Bureau of Economic Research, Inc.
  99. L. Baele & R. Vander Vennet & A. Van Landschoot, 2004. "Bank Risk Strategies and Cyclical Variation in Bank Stock Returns," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration 04/217, Ghent University, Faculty of Economics and Business Administration.
  100. Valeriy Zakamulin, 2012. "Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook," Papers, arXiv.org 1203.2250, arXiv.org, revised Jan 2013.
  101. John Y. Campbell & Motohiro Yogo, 2002. "Efficient Tests of Stock Return Predictability," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research 1972, Harvard - Institute of Economic Research.
  102. Campbell, John Y & Viceira, Luis M, 2005. "The Term Structure of the Risk-Return Tradeoff," CEPR Discussion Papers, C.E.P.R. Discussion Papers 4914, C.E.P.R. Discussion Papers.
  103. Campbell, John & Thompson, Samuel P., 2008. "Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?," Scholarly Articles, Harvard University Department of Economics 2622619, Harvard University Department of Economics.
  104. Polk, Christopher & Thompson, Samuel & Vuolteenaho, Tuomo, 2006. "Cross-sectional forecasts of the equity premium," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(1), pages 101-141, July.
  105. Rangvid, Jesper, 2006. "Output and expected returns," Journal of Financial Economics, Elsevier, Elsevier, vol. 81(3), pages 595-624, September.
  106. Vanessa Berenguer Rico & Jesús Gonzalo, 2013. "Co-summability from linear to non-linear cointegration," Economics Working Papers, Universidad Carlos III, Departamento de Economía we1312, Universidad Carlos III, Departamento de Economía.
  107. Piergiorgio Alessandri & Donald Robertson & Stephen Wright, 2008. "Miller and Modigliani, Predictive Return Regressions and Cointegration," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, Department of Economics, University of Oxford, vol. 70(2), pages 181-207, 04.
  108. Bandi, Federico M. & Perron, Benoît, 2008. "Long-run risk-return trade-offs," Journal of Econometrics, Elsevier, Elsevier, vol. 143(2), pages 349-374, April.
  109. Nelson C. Mark & Donggyu Sul, 2004. "The Use of Predictive Regressions at Alternative Horizons in Finance and Economics," Finance, EconWPA 0409032, EconWPA.
  110. Signori, Ombretta & Brière, Marie, 2012. "Inflation-Hedging Portfolios : Economic Regimes Matter," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/9296, Paris Dauphine University.
  111. Martin Evans and Alberto Fuertes, 2010. "Understanding the Dynamics of the US External Position," Working Papers, Georgetown University, Department of Economics gueconwpa~10-10-05, Georgetown University, Department of Economics.
  112. Jiang, Xiaoquan & Lee, Bong-Soo, 2007. "Stock returns, dividend yield, and book-to-market ratio," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(2), pages 455-475, February.
  113. Min Wei & Jonathan Wright, 2009. "Confidence intervals for long-horizon predictive regressions via reverse regressions," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.) 2009-27, Board of Governors of the Federal Reserve System (U.S.).
  114. Narayan, Paresh Kumar & Sharma, Susan & Poon, Wai Ching & Westerlund, Joakim, 2014. "Do oil prices predict economic growth? New global evidence," Energy Economics, Elsevier, Elsevier, vol. 41(C), pages 137-146.
  115. Seongman Moon & Carlos Velasco, 2011. "The Forward Discount Puzzle: Identi cation of Economic Assumptions," Working Papers, Research Institute for Market Economy, Sogang University 1112, Research Institute for Market Economy, Sogang University.
  116. Cédric Okou & Éric Jacquier, 2014. "Horizon Effect in the Term Structure of Long-Run Risk-Return Trade-Offs," CIRANO Working Papers, CIRANO 2014s-36, CIRANO.
  117. Martin T. Bohl & Christian A. Salm, 2009. "The Other January Effect: International Evidence," CQE Working Papers, Center for Quantitative Economics (CQE), University of Muenster 0809, Center for Quantitative Economics (CQE), University of Muenster.
  118. Fernandez, Pablo & Aguirreamalloa, Javier & Liechtenstein, Heinrich, 2009. "The equity premium puzzle: High required equity premium, undervaluation and self fulfilling prophecy," IESE Research Papers, IESE Business School D/821, IESE Business School.
  119. Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, Elsevier, vol. 17(4), pages 552-565, September.
  120. Martin Lettau & Stijn Van Nieuwerburgh, 2006. "Reconciling the Return Predictability Evidence," 2006 Meeting Papers, Society for Economic Dynamics 29, Society for Economic Dynamics.
  121. Ulrich Mueller & Mark W. Watson, 2006. "Testing Models of Low-Frequency Variability," NBER Working Papers, National Bureau of Economic Research, Inc 12671, National Bureau of Economic Research, Inc.
  122. Jiang, Danling, 2013. "The second moment matters! Cross-sectional dispersion of firm valuations and expected returns," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(10), pages 3974-3992.
  123. Kohei Aono & Tokuo Iwaisako, 2011. "Forecasting Japanese Stock Returns with Financial Ratios and Other Variables," Asia-Pacific Financial Markets, Springer, Springer, vol. 18(4), pages 373-384, November.
  124. Erik Hjalmarsson, 2005. "Estimation of average local-to-unity roots in heterogenous panels," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 852, Board of Governors of the Federal Reserve System (U.S.).
  125. Paye, Bradley S., 2012. "‘Déjà vol’: Predictive regressions for aggregate stock market volatility using macroeconomic variables," Journal of Financial Economics, Elsevier, Elsevier, vol. 106(3), pages 527-546.
  126. Nagayasu, Jun, 2007. "Putting the dividend-price ratio under the microscope," Finance Research Letters, Elsevier, Elsevier, vol. 4(3), pages 186-195, September.
  127. Evans, Martin, 2014. "External Balances, Trade Flows and Financial Conditions," MPRA Paper, University Library of Munich, Germany 55644, University Library of Munich, Germany.
  128. repec:wyi:wpaper:002020 is not listed on IDEAS
  129. François Gourio, 2009. "Disasters Risk and Business Cycles," NBER Working Papers, National Bureau of Economic Research, Inc 15399, National Bureau of Economic Research, Inc.
  130. Bakshi, Gurdip & Panayotov, George & Skoulakis, Georgios, 2011. "Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios," Journal of Financial Economics, Elsevier, Elsevier, vol. 100(3), pages 475-495, June.
  131. Cai, Zongwu & Li, Qi & Park, Joon Y., 2009. "Functional-coefficient models for nonstationary time series data," Journal of Econometrics, Elsevier, Elsevier, vol. 148(2), pages 101-113, February.
  132. Chang, Kuang-Liang, 2009. "Do macroeconomic variables have regime-dependent effects on stock return dynamics? Evidence from the Markov regime switching model," Economic Modelling, Elsevier, Elsevier, vol. 26(6), pages 1283-1299, November.
  133. Charles P. Thomas, 2006. "The Performance of International Equity Portfolios," The Institute for International Integration Studies Discussion Paper Series, IIIS iiisdp162, IIIS.
  134. Yan-Ting Lin & Shang-Chi Gong & Sou-Shan Wu & Tsung-Pei Lee, 2012. "E/P Mean Reversion-Based Strategies for Investment Practice: Evidence from the Taiwan Market," Emerging Markets Finance and Trade, M.E. Sharpe, Inc., M.E. Sharpe, Inc., vol. 48(1), pages 117-131, January.
  135. repec:wyi:journl:002096 is not listed on IDEAS
  136. Erik Hjalmarsson, 2006. "Should we expect significant out-of-sample results when predicting stock returns?," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 855, Board of Governors of the Federal Reserve System (U.S.).
  137. Fukang Zhu & Zongwu Cai & Liang Peng, 2014. "Predictive regressions for macroeconomic data," Papers, arXiv.org 1404.7642, arXiv.org.
  138. David G. McMillan & Mark E. Wohar, 2010. "Stock return predictability and dividend-price ratio: a nonlinear approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., John Wiley & Sons, Ltd., vol. 15(4), pages 351-365.
  139. Benjamin Chiquoine & Erik Hjalmarsson, 2008. "Jackknifing stock return predictions," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.) 932, Board of Governors of the Federal Reserve System (U.S.).
  140. Chen, Sichong, 2012. "The predictability of aggregate Japanese stock returns: Implications of dividend yield," International Review of Economics & Finance, Elsevier, Elsevier, vol. 22(1), pages 284-304.
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