In the finance literature, statistical inferences for large-scale testing problems usually suffer from data snooping bias. In this paper we extend the "superior predictive ability" (SPA) test of Hansen (2005, JBES) to a stepwise SPA test that can identify predictive models without potential data...

In an economy with time-varying investment opportunities, the changes in technology prospects affect aggregate consumption and individual firm's future dividends, and lead to systematic technology risk. We construct a technology factor to track the changes in technology prospects measured by...