On the Predictability of Common Stock Returns: World-Wide Evidence (Revision of 23-92) (Reprint 054)
Recent empirical findings suggest that equity returns are predictable. These findings document persistent cross-sectional and time series patterns in returns that are not predicted by extant theory, and are, therefore, often classified as anomalies. In this paper we synthesize the evidence on predictable returns, focusing on the subset of the findings whose existence has proved most robust with respect to both time and the number of stock markets in which they have been observed.
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