We survey the literature on stock return forecasting, highlighting the challenges faced by forecasters as well as strategies for improving return forecasts. We focus on U.S. equity premium forecastability and illustrate key issues via an empirical application based on updated data. Some studies...

We provide the first systematic evidence on the link between long-short anomaly portfolio returns—a cornerstone of the cross-sectional literature—and the time-series predictability of the aggregate market excess return. Using 100 representative anomalies from the literature, we employ a...

This appendix provides complete results for the robustness checks discussed in Short Interest and Aggregate Stock Returns.The paper "Short Interest and Aggregate Stock Returns" to which these Appendices apply is available at the following URL: 'http://ssrn.com/abstract=2474930'...