Citations for "Predictive Systems: Living with Imperfect Predictors"
by Pástor, Luboš & Stambaugh, Robert F.
- Daniela Osterrieder & Daniel Ventosa-Santaulària & J. Eduardo Vera-Valdés, 2015. "Unbalanced Regressions and the Predictive Equation," CREATES Research Papers 2015-09, School of Economics and Management, University of Aarhus.
- Gianni Amisano & Roberto Savona, 2007.
"Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk,"
0706, University of Brescia, Department of Economics.
- Amisano, Gianni & Savona, Roberto, 2008. "Imperfect predictability and mutual fund dynamics. How managers use predictors in changing systematic risk," Working Paper Series 0881, European Central Bank.
- Lubos Pastor & Pietro Veronesi, 2009.
"Learning in Financial Markets,"
NBER Working Papers
14646, National Bureau of Economic Research, Inc.
- Jessica Wachter, 2010.
NBER Working Papers
16255, National Bureau of Economic Research, Inc.
- Jules H. van Binsbergen & Ralph S.J. Koijen, 2010.
"Predictive Regressions: A Present-value Approach,"
NBER Working Papers
16263, National Bureau of Economic Research, Inc.
- Carlo A. Favero & Andrea Tamoni, 2010. "Demographics and the Econometrics of the Term Structure of Stock Market Risk," Working Papers 367, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Doron Avramov & Guofu Zhou, 2010. "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 25-47, December.
- 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, vol. 100(3), pages 475-495, June.
- Jäckel, Christoph, 2013. "Model uncertainty and expected return proxies," MPRA Paper 51978, University Library of Munich, Germany.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2010. "Out-of-sample equity premium prediction: economic fundamentals vs. moving-average rules," Working Papers 2010-008, Federal Reserve Bank of St. Louis.
- Pástor, Luboš & Stambaugh, Robert F., 2009.
"Are Stocks Really Less Volatile in the Long Run?,"
CEPR Discussion Papers
7199, C.E.P.R. Discussion Papers.
- L. Spierdijk & J.A. Bikker, 2013.
"Mean Reversion in Stock Prices: Implications for Long-Term Investors,"
12-07, Utrecht School of Economics.
- Laura Spierdijk & Jacob Bikker, 2012. "Mean Reversion in Stock Prices: Implications for Long-Term Investors," DNB Working Papers 343, Netherlands Central Bank, Research Department.
- Tu, Jun & Zhou, Guofu, 2010. "Incorporating Economic Objectives into Bayesian Priors: Portfolio Choice under Parameter Uncertainty," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(04), pages 959-986, August.
- Rytchkov, Oleg, 2010. "Expected returns on value, growth, and HML," Journal of Empirical Finance, Elsevier, vol. 17(4), pages 552-565, September.
- Schmeling, Maik, 2008.
"Investor sentiment and stock returns: Some international evidence,"
Hannover Economic Papers (HEP)
dp-407, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
- Schmeling, Maik, 2009. "Investor sentiment and stock returns: Some international evidence," Journal of Empirical Finance, Elsevier, vol. 16(3), pages 394-408, June.
- Schrimpf, Andreas, 2010.
"International stock return predictability under model uncertainty,"
Journal of International Money and Finance,
Elsevier, vol. 29(7), pages 1256-1282, November.
- Schrimpf, Andreas, 2008. "International Stock Return Predictability Under Model Uncertainty," ZEW Discussion Papers 08-048, ZEW - Zentrum für Europäische Wirtschaftsforschung / Center for European Economic Research.
- Blake LeBaron, 2010.
"Wealth Dynamics and a Bias Toward Momentum Trading,"
14, Brandeis University, Department of Economics and International Businesss School.
- LeBaron, Blake, 2012. "Wealth dynamics and a bias toward momentum trading," Finance Research Letters, Elsevier, vol. 9(1), pages 21-28.
- Dangl, Thomas & Halling, Michael, 2012. "Predictive regressions with time-varying coefficients," Journal of Financial Economics, Elsevier, vol. 106(1), pages 157-181.
- Blake LeBaron, 2010. "Heterogeneous Gain Learning and Long Swings in Asset Prices," Working Papers 10, Brandeis University, Department of Economics and International Businesss School.
- Ralph S.J. Koijen & Stijn Van Nieuwerburgh, 2010.
"Predictability of Returns and Cash Flows,"
NBER Working Papers
16648, National Bureau of Economic Research, Inc.
- Zhu, Xiaoneng & Zhu, Jie, 2013. "Predicting stock returns: A regime-switching combination approach and economic links," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4120-4133.
- Davide Pettenuzzo & Allan Timmermann & Rossen Valkanov, 2013.
"Forecasting Stock Returns under Economic Constraints,"
57, Brandeis University, Department of Economics and International Businesss School.
- Pettenuzzo, Davide & Timmermann, Allan & Valkanov, Rossen, 2014. "Forecasting stock returns under economic constraints," Journal of Financial Economics, Elsevier, vol. 114(3), pages 517-553.
- Pettenuzzo, Davide & Timmermann, Allan G & Valkanov, Rossen, 2013. "Forecasting Stock Returns under Economic Constraints," CEPR Discussion Papers 9377, C.E.P.R. Discussion Papers.
- Michael Johannes & Arthur Korteweg & Nicholas Polson, 2014. "Sequential Learning, Predictability, and Optimal Portfolio Returns," Journal of Finance, American Finance Association, vol. 69(2), pages 611-644, 04.
- Miguel A. Ferreira & Pedro Santa-Clara, 2008. "Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole," NBER Working Papers 14571, National Bureau of Economic Research, Inc.
- Zhou, Guofu, 2010. "How much stock return predictability can we expect from an asset pricing model?," Economics Letters, Elsevier, vol. 108(2), pages 184-186, August.
- Goodness C. Aye & Rangan Gupta & Mampho P. Modise, 2012. "Structural Breaks and Predictive Regressions Models of South African Equity Premium," Working Papers 201209, University of Pretoria, Department of Economics.
- Blake LeBaron, 2011. "Active and Passive Learning in Agent-based Financial Markets," Eastern Economic Journal, Palgrave Macmillan, vol. 37(1), pages 35-43.
- Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011. "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers CoFie-02-2011, Sim Kee Boon Institute for Financial Economics.
- Jiang, Xiaoquan & Lee, Bong-Soo, 2014. "The intertemporal risk-return relation: A bivariate model approach," Journal of Financial Markets, Elsevier, vol. 18(C), pages 158-181.
- George Constantinides, 2012. "The Predictability of Returns with Regime Shifts in Consumption and Dividend Growth," 2012 Meeting Papers 1197, Society for Economic Dynamics.
- 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, vol. 100(3), pages 514-537, June.
- Henkel, Sam James & Martin, J. Spencer & Nardari, Federico, 2011. "Time-varying short-horizon predictability," Journal of Financial Economics, Elsevier, vol. 99(3), pages 560-580, March.
- Roy P. P. M. Hoevenaars & Roderick D. J. Molenaar & Peter C. Schotman & Tom B. M. Steenkamp, 2014. "Strategic Asset Allocation For Long‐Term Investors: Parameter Uncertainty And Prior Information," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(3), pages 353-376, 04.
- David le Bris & William N. Goetzmann & Sébastien Pouget, 2014. "Testing Asset Pricing Theory on Six Hundred Years of Stock Returns: Prices and Dividends for the Bazacle Company from 1372 to 1946," NBER Working Papers 20199, National Bureau of Economic Research, Inc.
- N. Kundan Kishor & James Morley, 2014. "What Factors Drive the Price-Rent Ratio for the Housing Market? A Modified Present-Value Approach," Discussion Papers 2014-20, School of Economics, The University of New South Wales.