Long-horizon predictability is not a myth. We propose a new analytical standard error for predictive regressions that does not impose the null hypothesis that returns are unpredictable and exhibits substantial power gains relative to popular tests. Deriving the covariance matrix under the...

I propose a friction measure of bond round-trip liquidity costs that is robust to outliers and accounts for the idiosyncratic information behind trading decisions. Particularly effective with investment-grade bonds, the proposed measure displays properties consistent with the credit risk puzzle....

Hedge funds often hold illiquid assets whose true value is slowly reflected in reported returns. As a result, reported returns of a hedge fund can become a smoothed version of its true realized returns and, thus, can bias the evaluation of hedge fund performance. To address this problem, we...