Stock Return Predictability in the Post-2008 Era

We test the predictability of eighteen stock return predictors, including classic factors such as firm size, book-to-market, and momentum, along with other proposed predictors from firm-specific, corporate investment, financing, and stock characteristic anomalies. These predictors have power to predict raw returns and risk-adjusted returns (i.e., alpha) at the annual horizon during 1962 to 2008. However, since the Federal Reserve has distorted markets with its monetary policy responses to the financial crisis, none of these eighteen predictors can generate alpha