Forecasting macroeconomic variables using diffusion indexes in short samples with structural change / Anindya Banerjee, Massimiliano Marcellino, Igor Masten -- Predictive inference under model misspecification / Nii Ayi Armah, Norman R. Swanson -- Forecasting persistent data with possible...

We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...