returns. The documented predictability holds for annual and multi-annual horizons and works both in and out …

dividend yield, the earnings yield and the short rate. The predictability regression is suggested by a present value model with … examine the finite sample evidence on predictability. Not only do we find the short rate to be a relevant state variable … dividend yield predictability is not robust to our increased sample period, does not survive finite sample corrections and does …

observable economic variables, and show that these levels of predictability are statistically significant, even after controlling … for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry …-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return …

The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the … though a null hypothesis of no predictability might not be rejected at conventional significance levels. When viewed in this … economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns …

We apply the method of constrained asset share estimation (CASE) to test the mean-variance efficiency (MVE) of the …