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Why Does Return Predictability Concentrate in Bad Times?

Citations

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Cited by:

  1. Yang, Xuebing & Zhang, Huilan, 2019. "Extreme absolute strength of stocks and performance of momentum strategies," Journal of Financial Markets, Elsevier, vol. 44(C), pages 71-90.
  2. Isakin, Maksim & Pu, Xiaoling, 2023. "Dispersion in news sentiment and corporate bond returns," International Review of Financial Analysis, Elsevier, vol. 89(C).
  3. Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
  4. Li, Xiyang & Chen, Xiaoyue & Li, Bin & Singh, Tarlok & Shi, Kan, 2022. "Predictability of stock market returns: New evidence from developed and developing countries," Global Finance Journal, Elsevier, vol. 54(C).
  5. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 235-256.
  6. Wang, Hailong & Hu, Duni & Ma, Chaoqun & Cheng, Fengchao, 2020. "Disagreements with noisy signals and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  7. Faria, Gonçalo & Verona, Fabio, 2023. "Forecast combination in the frequency domain," Bank of Finland Research Discussion Papers 1/2023, Bank of Finland.
  8. Lansing, Kevin J. & LeRoy, Stephen F. & Ma, Jun, 2022. "Examining the sources of excess return predictability: Stochastic volatility or market inefficiency?," Journal of Economic Behavior & Organization, Elsevier, vol. 197(C), pages 50-72.
  9. Lawrenz, Jochen & Zorn, Josef, 2018. "Decomposing the predictive power of local and global financial valuation ratios," The Quarterly Review of Economics and Finance, Elsevier, vol. 70(C), pages 137-149.
  10. Adem Atmaz & Huseyin Gulen & Stefano Cassella & Fangcheng Ruan, 2024. "Contrarians, Extrapolators, and Stock Market Momentum and Reversal," Management Science, INFORMS, vol. 70(9), pages 5949-5984, September.
  11. Yi-Chieh Wen & Bin Li, 2020. "Lagged country returns and international stock return predictability during business cycle recession periods," Applied Economics, Taylor & Francis Journals, vol. 52(46), pages 5005-5019, October.
  12. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
  13. Wang, Hailong & Hu, Duni, 2020. "Disagreement with procyclical beliefs and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  14. Lloyd, S. P. & Marin, E. A., 2019. "Exchange Rate Risk and Business Cycles," Cambridge Working Papers in Economics 1996, Faculty of Economics, University of Cambridge.
  15. Monica Billio & Roberto Casarin & Michele Costola & Lorenzo Frattarolo, 2019. "Opinion Dynamics and Disagreements on Financial Networks," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(4), pages 24-51, December.
  16. Mustafa O. Caglayan & Diogo Duarte & Victor F. Duarte & Xiaomeng Lu, 2025. "Compounding Money and Nominal Price Illusions," Management Science, INFORMS, vol. 71(6), pages 5204-5229, June.
  17. Golab, Anna & Bannigidadmath, Deepa & Pham, Thach Ngoc & Thuraisamy, Kannan, 2022. "Economic policy uncertainty and industry return predictability – Evidence from the UK," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 433-447.
  18. Constant Aka & Marie‐Hélène Gagnon & Gabriel J. Power, 2025. "Commodity Option Return Predictability," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 45(10), pages 1544-1578, October.
  19. Zhang, Yaojie & Wang, Yudong, 2023. "Forecasting crude oil futures market returns: A principal component analysis combination approach," International Journal of Forecasting, Elsevier, vol. 39(2), pages 659-673.
  20. Wen, Danyan & Wang, Huihui & Wang, Yudong & Xiao, Jihong, 2024. "Crude oil futures and the short-term price predictability of petroleum products," Energy, Elsevier, vol. 307(C).
  21. Goulding, Christian L. & Harvey, Campbell R. & Mazzoleni, Michele G., 2023. "Momentum turning points," Journal of Financial Economics, Elsevier, vol. 149(3), pages 378-406.
  22. Roberto Gómez‐Cram, 2022. "Late to Recessions: Stocks and the Business Cycle," Journal of Finance, American Finance Association, vol. 77(2), pages 923-966, April.
  23. Cotter, John & Eyiah-Donkor, Emmanuel & Potì, Valerio, 2023. "Commodity futures return predictability and intertemporal asset pricing," Journal of Commodity Markets, Elsevier, vol. 31(C).
  24. Prokopczuk, Marcel & Stancu, Andrei & Symeonidis, Lazaros, 2019. "The economic drivers of commodity market volatility," Journal of International Money and Finance, Elsevier, vol. 98(C), pages 1-1.
  25. Neuhierl, Andreas & Weber, Michael, 2019. "Monetary policy communication, policy slope, and the stock market," Journal of Monetary Economics, Elsevier, vol. 108(C), pages 140-155.
  26. de Oliveira Souza, Thiago, 2019. "Predictability concentrates in bad times. And so does disagreement," Discussion Papers on Economics 8/2019, University of Southern Denmark, Department of Economics.
  27. Ilias Aarab, 2025. "Switching between states and the COVID-19 turbulence," Papers 2512.20477, arXiv.org.
  28. Onur Özdemir & Selin Yalçıntaş, 2026. "Herd investing and market inefficiency in forex markets over the COVID-19 outbreak: the multifractality analysis," SN Business & Economics, Springer, vol. 6(3), pages 1-35, March.
  29. Li Liu & Zhiyuan Pan & Yudong Wang, 2022. "Shrinking return forecasts," The Financial Review, Eastern Finance Association, vol. 57(3), pages 641-661, August.
  30. Zhao, Yuan & Gong, Xue & Zhang, Weiguo & Xu, Weijun, 2024. "Forecasting carbon futures returns using feature selection and Markov chain with sample distribution," Energy Economics, Elsevier, vol. 140(C).
  31. Li, Luyang & Yin, Ximing & Yu, Deshui, 2025. "On the time-varying relation between monetary policy uncertainty and bond risk premia," International Review of Financial Analysis, Elsevier, vol. 106(C).
  32. Wang, Hailong & Hu, Duni, 2021. "Heterogeneous beliefs with herding behaviors and asset pricing in two goods world," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
  33. Mamdouh Medhat & Maik Schmeling, 2022. "Short-term Momentum," The Review of Financial Studies, Society for Financial Studies, vol. 35(3), pages 1480-1526.
  34. Giulio Bottazzi & Pietro Dindo & Daniele Giachini, 2019. "Momentum and reversal in financial markets with persistent heterogeneity," Annals of Finance, Springer, vol. 15(4), pages 455-487, December.
  35. Thach Pham & Deepa Bannigidadmath & Robert Powell, 2025. "Industry return predictability using health policy uncertainty," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 11(1), pages 1-42, December.
  36. Ilias Aarab, 2025. "The Aligned Economic Index & The State Switching Model," Papers 2512.20460, arXiv.org, revised Dec 2025.
  37. Victoria Atanasov & Stig V. Møller & Richard Priestley, 2020. "Consumption Fluctuations and Expected Returns," Journal of Finance, American Finance Association, vol. 75(3), pages 1677-1713, June.
  38. Ren‐Raw Chen & Pei‐Lin Hsieh & Jeffrey Huang & Xiaowei Li, 2023. "Predictive power of the implied volatility term structure in the fixed‐income market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(3), pages 349-383, March.
  39. Jonathan Iworiso & Spyridon Vrontos, 2020. "On the directional predictability of equity premium using machine learning techniques," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(3), pages 449-469, April.
  40. Bottazzi, Giulio & Giachini, Daniele, 2024. "Corrigendum to “A general equilibrium model of investor sentiment” [Economics Letters 218 (2022) 110749]," Economics Letters, Elsevier, vol. 238(C).
  41. Fong, Tom Pak Wing & Wu, Shui Tang, 2020. "Predictability in sovereign bond returns using technical trading rules: Do developed and emerging markets differ?," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
  42. Hu, Duni & Wang, Hailong, 2024. "Heterogeneous beliefs with preference interdependence and asset pricing," International Review of Economics & Finance, Elsevier, vol. 93(PA), pages 1-37.
  43. repec:osf:socarx:z7k3p_v1 is not listed on IDEAS
  44. Sharma, Susan Sunila & Narayan, Paresh Kumar, 2022. "Technology shocks and stock returns: A long-term perspective," Journal of Empirical Finance, Elsevier, vol. 68(C), pages 67-83.
  45. Leandro dos Santos Maciel & Ricardo Franceli da Silva, 2025. "Market Efficiency and Equity Risk Premium Predictability," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 30(3), pages 3064-3091, July.
  46. Wang, Hailong & Hu, Duni, 2022. "Heterogenous beliefs with sentiments and asset pricing," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  47. Chenchen Li & Rui Li & Xundi Diao & Chongfeng Wu, 2020. "Market segmentation and supply‐chain predictability: evidence from China," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 60(2), pages 1531-1562, June.
  48. Lof, Matthijs & Nyberg, Henri, 2024. "Discount rates and cash flows: A local projection approach," Journal of Banking & Finance, Elsevier, vol. 162(C).
  49. Diogo Silva & António Cerqueira, 2021. "Financial Reporting Quality and Investors' Divergence of Opinion†," Accounting Perspectives, John Wiley & Sons, vol. 20(1), pages 79-107, March.
  50. Zongxia Liang & Qi Ye, 2024. "Despite Absolute Information Advantages, All Investors Incur Welfare Loss," Papers 2405.08822, arXiv.org.
  51. Doina Chichernea & Kershen Huang & Alex Petkevich, 2019. "Does maturity matter? The case of treasury futures volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(10), pages 1301-1321, October.
  52. Dezhong Xu & Bin Li & Tarlok Singh & Jung Chul Park, 2025. "Cross‐asset time‐series momentum strategy: A new perspective," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 65(3), pages 2387-2419, September.
  53. Guasoni, Paolo & Weber, Marko Hans, 2025. "General equilibrium with unhedgeable fundamentals and heterogeneous agents," Journal of Economic Theory, Elsevier, vol. 224(C).
  54. Pyun, Sungjune, 2019. "Variance risk in aggregate stock returns and time-varying return predictability," Journal of Financial Economics, Elsevier, vol. 132(1), pages 150-174.
  55. Antonio Gargano & Davide Pettenuzzo & Allan Timmermann, 2019. "Bond Return Predictability: Economic Value and Links to the Macroeconomy," Management Science, INFORMS, vol. 65(2), pages 508-540, February.
  56. Ferrer Fernández, María & Henry, Ólan & Pybis, Sam & Stamatogiannis, Michalis P., 2023. "Can we forecast better in periods of low uncertainty? The role of technical indicators," Journal of Empirical Finance, Elsevier, vol. 71(C), pages 1-12.
  57. Stein, Tobias, 2024. "Forecasting the equity premium with frequency-decomposed technical indicators," International Journal of Forecasting, Elsevier, vol. 40(1), pages 6-28.
  58. Hillert, Alexander & Jacobs, Heiko & Müller, Sebastian, 2018. "Journalist disagreement," Journal of Financial Markets, Elsevier, vol. 41(C), pages 57-76.
  59. Ming‐Yu Liu, 2019. "Improving momentum strategies using residual returns and option‐implied information," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(4), pages 499-521, April.
  60. Wang, Hailong & Hu, Duni, 2025. "Heterogeneous beliefs with information processing constraints and asset pricing in presence of non-tradable goods," The North American Journal of Economics and Finance, Elsevier, vol. 80(C).
  61. Faria, Gonçalo & Verona, Fabio, 2018. "The equity risk premium and the low frequency of the term spread," Research Discussion Papers 7/2018, Bank of Finland.
  62. Hui Hong & Zhicun Bian & Chien-Chiang Lee, 2021. "COVID-19 and instability of stock market performance: evidence from the U.S," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 7(1), pages 1-18, December.
  63. Lin, Qi, 2021. "The q5 model and its consistency with the intertemporal CAPM," Journal of Banking & Finance, Elsevier, vol. 127(C).
  64. James Yae & Yang Luo, 2023. "Robust monitoring machine: a machine learning solution for out-of-sample R $$^2$$ 2 -hacking in return predictability monitoring," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
  65. Panzica, Roberto Calogero, 2018. "Idiosyncratic volatility puzzle: The role of assets' interconnections," SAFE Working Paper Series 228, Leibniz Institute for Financial Research SAFE.
  66. Wang, Hailong & Hu, Duni, 2024. "Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy," The North American Journal of Economics and Finance, Elsevier, vol. 72(C).
  67. Yu, Deshui & Huang, Difang, 2023. "Cross-sectional uncertainty and expected stock returns," Journal of Empirical Finance, Elsevier, vol. 72(C), pages 321-340.
  68. Li, Delong & Lu, Lei & Mu, Congming & Yang, Jinqiang, 2019. "Biased beliefs, costly external finance, and firm behavior: A Unified theory," Bank of Finland Research Discussion Papers 18/2019, Bank of Finland.
  69. Lim, Bryan Y. & Wang, Jiaguo (George) & Yao, Yaqiong, 2018. "Time-series momentum in nearly 100 years of stock returns," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 283-296.
  70. Li Liu & Xianfeng Hao & Yudong Wang, 2024. "Solving the Forecast Combination Puzzle Using Double Shrinkages," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 86(3), pages 714-741, June.
  71. Li, Delong & Lu, Lei & Mu, Congming & Yang, Jinqiang, 2019. "Biased beliefs, costly external finance, and firm behavior : A Unified theory," Research Discussion Papers 18/2019, Bank of Finland.
  72. Li, Xiaowei & Wu, Zhengyu & Zhang, Hao & Zhang, Lu, 2024. "Risk-neutral skewness and stock market returns: A time-series analysis," The North American Journal of Economics and Finance, Elsevier, vol. 70(C).
  73. Faria, Gonçalo & Verona, Fabio, 2024. "Enhancing forecast accuracy through frequencydomain combination: Applications to financial and economic indicators," Bank of Finland Research Discussion Papers 14/2024, Bank of Finland.
  74. Kuntz, Laura-Chloé, 2020. "Beta dispersion and market timing," Discussion Papers 46/2020, Deutsche Bundesbank.
  75. de Oliveira Souza, Thiago, 2020. "Two out-of-sample forecasting models of the equity premium," Discussion Papers on Economics 11/2020, University of Southern Denmark, Department of Economics.
  76. Tsiakas, Ilias & Li, Jiahan & Zhang, Haibin, 2020. "Equity premium prediction and the state of the economy," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 75-95.
  77. Daniel Borup & Jonas N. Eriksen & Mads M. Kjær & Martin Thyrsgaard, 2024. "Predicting Bond Return Predictability," Management Science, INFORMS, vol. 70(2), pages 931-951, February.
  78. Antico, Andrea & Bottazzi, Giulio & Giachini, Daniele, 2025. "Pricing anomalies in a general equilibrium model with biased learning," Journal of Behavioral and Experimental Finance, Elsevier, vol. 45(C).
  79. Bennett, Donyetta & Mekelburg, Erik & Strauss, Jack & Williams, T.H., 2024. "Unlocking the black box of sentiment and cryptocurrency: What, which, why, when and how?," Global Finance Journal, Elsevier, vol. 60(C).
  80. Hasan, Md. Tanvir, 2022. "The sum of all SCARES COVID-19 sentiment and asset return," The Quarterly Review of Economics and Finance, Elsevier, vol. 86(C), pages 332-346.
  81. Heyerdahl-Larsen, Christian & Illeditsch, Philipp, 2026. "Demand disagreement," Journal of Financial Economics, Elsevier, vol. 175(C).
  82. Ma, Chaoqun & Wang, Hailong & Cheng, Fengchao & Hu, Duni, 2018. "How money illusions and heterogeneous beliefs affect asset prices," The North American Journal of Economics and Finance, Elsevier, vol. 44(C), pages 167-192.
  83. Kroencke, Tim A., 2022. "Recessions and the stock market," Journal of Monetary Economics, Elsevier, vol. 131(C), pages 61-77.
  84. Albert S. Kyle & Anna A. Obizhaeva & Yajun Wang, 2023. "Beliefs Aggregation and Return Predictability," Journal of Finance, American Finance Association, vol. 78(1), pages 427-486, February.
  85. Li Liu & Zhiyuan Pan & Yudong Wang, 2021. "What can we learn from the return predictability over the business cycle?," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(1), pages 108-131, January.
  86. Martineau, Charles, 2021. "Rest in Peace Post-Earnings Announcement Drift," SocArXiv z7k3p, Center for Open Science.
  87. Vo, Xuan Vinh & Truong, Quang Binh, 2018. "Does momentum work? Evidence from Vietnam stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 17(C), pages 10-15.
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