We examine in this paper the training and test set performance of several equity factor models with a dataset of 20 years of data, 1,200 stocks and 100 factors. First, we examine several models to forecast expected returns, which can be used as baselines for more complex models: linear...

This paper tests the efficiency of macroeconomic forecasts, contributing to the existing literature using a rolling-event approach. We construct a monthly economic surprises index, aggregating several macroeconomic news surprises for the nine largest economic areas (G9), which we further analyze...

In this paper, we forecast industry returns out-of-sample using the cross-section of book-to-market ratios and investigate whether investors can exploit this predictability in portfolio allocation. Cash-flow and return forecasting regressions show that cross-industry book-to-market ratios...