We compare the performance of time-series (TS) and cross-sectional (CS) strategies based on past returns. While CS strategies are zero-net investment long/short strategies, TS strategies take on a time-varying net-long investment in risky assets. For individual stocks, the difference between the...

In this paper we provide new evidence on the predictability of aggregate stock market returns, and new time series of the expected excess returns on common stocks. We extract aggregate discount rate news from equity portfolio returns and use this information to construct estimates of expected...

This research examines the use of econometric models to predict the total NAV of an asset allocation mutual fund. In particular, the mutual fund case used is the Vanguard Wellington Fund. This fund maintains a balance between relatively conservative stocks and bonds. The period of the study on...

We introduce a new measure of stock misevaluation, 𝑄, which is consistent with the Gordon growth model for firm valuation. In our empirical application, we use 𝑄 to relate analyst forecasts to stock returns and measure the profitability of investment strategies that rely on information in...

Cross-firm predictability among economically linked firms can arise when both firms exhibit own-momentum and their returns are contemporaneously correlated. We show that cross-firm predictability can last up to 10 years, which is hard to reconcile with an interpretation of slow information...

Previous research finds that machine learning methods predict short-term return variation in the cross-section of stocks, even when these methods do not impose strict economic restrictions. However, without such restrictions, the models' predictions fail to generalize in a number of important...

We examine whether real-time return forecasts are valuable to an investor looking to allocate their portfolio across a wide selection of countries. We expand the Sum-of-Parts (SoP) method for forecasting stock returns to an international setup by adding FX returns as an additional component. We...