limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these … linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these … linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

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. …

substantially improve both the statistical and economic out-of-sample performance of multivariate models for return predictability …

monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks …

local-momentum autoregression model, we find that the sentiment effect is prolonged and sustained during the bubble while it …