test the hypothesis that one time series has no directional predictability to another time series. We establish the … the null hypothesis of no predictability. We provide simulation studies and two empirical applications. First, we use the … cross-quantilogram to detect predictability from stock variance to excess stock return. Compared to existing tools used in …

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on … actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures … multiperiod portfolio gross returns. We apply our methodology to test the gross return predictability of various financial series. …

linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

from 1962 to 2013 in three subperiods. We find evidence of a reduction of linear predictability in the most recent period …