Boudoukh, Jacob; Richardson, Matthew; Whitelaw, Robert F. - In: Review of Financial Studies 21 (2008) 4, pp. 1577-1605
The prevailing view in finance is that the evidence for long-horizon stock return predictability is significantly stronger than that for short horizons. We show that for persistent regressors, a characteristic of most of the predictive variables used in the literature, the estimators are almost...