We provide data and code that successfully reproduces nearly all cross-sectional stock return predictors. Unlike most metastudies, we carefully examine the original papers to determine whether our predictability tests should produce t-stats above 1.96. For the 180 predictors that were clearly...

We provide data and code that successfully reproduces nearly all crosssectional stock return predictors. Our 319 characteristics draw from previous meta-studies, but we differ by comparing our t-stats to the original papers' results. For the 161 characteristics that were clearly significant in...

This study examines stock return predictability via lagged financial variables with unknown stochastic properties. We conduct a battery of predictability tests for US stock returns during the 1927-2012 period, proposing a novel testing procedure which: i) robustifies inference to the degree of...