Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - Swiss National Centre of Competence in Research North … - 2010
A large literature studies the predictability of stock returns by other lagged nancialvariables in a predictive regression setting. A common feature of widely used testingprocedures is a failing robustness, which may lead to misleading conclusions determinedby the particular features of a small...