We show that log-periodic power-law (LPPL) functions are intrinsically very hard to fit to time series. This comes from their sloppiness, the squared residuals depending very much on some combinations of parameters and very little on other ones. The time of singularity that is supposed to give...

Using monthly data from 01/1985 to 12/2012, we find that the accounting valuation-based predictor introduced in Lee, Myers, and Swaminathan (1999) has excellent in-sample and out-of-sample predictive performance. Our finding suggests that the accounting valuation-based predictor does not suffer...

In this paper we investigate the predictive power of cross-sectional volatility, skewness and kurtosis for future stock returns. Adding to the work of Maio (2016), who finds cross-sectional volatility to forecast a decline in the equity premium with high predictive power in-sample as well as...

Existing research indicates that it is possible to forecast potential long-term returns in the S&P 500 for periods of more than 10 years using the cyclically adjusted price-to-earnings ratio (CAPE). This paper concludes that this relationship has also existed internationally in 17 MSCI Country...

In a seminal paper, Dechow, Sloan and Soliman (2004) develop a price-implied measure for equity duration and for its estimation they employ parsimonious but relatively crude procedures. Hence, these authors claim that improvements in procedures should lead to more accurate and useful estimates...

Using a comprehensive data set and an array of 27 macroeconomic, stock and bond predictors, we find that corporate bond returns are highly predictable based on an iterated combination model. The large set of predictors outperforms traditional predictors substantially, and predictability...

The index futures market allows for accurate measure of expected dividends from the aggregate stock market. This paper uses the dividend information exclusively extracted from the S&P 500 futures market to construct the implied dividend yield, implied capital gains and novel measures of cash...

Using proprietary data on millions of trades by retail investors, we provide the first large-scale evidence that retail short selling predicts negative stock returns. A portfolio that mimics weekly retail shorting earns an annualized risk-adjusted return of 9%. The predictive ability of retail...

We identify all return leader-follower pairs among individual stocks using Granger causality regressions. Thus-identified leaders can reliably predict their followers' returns out of sample, and the return predictability works at the level of individual stocks rather than industries. Our results...

We generalize the Ferreira and Santa-Clara (2011) sum-of-the-parts method for forecasting stock market returns. Rather than summing the parts of stock returns, we suggest summing some of the frequency-decomposed parts. The proposed method signi cantly improves upon the original sum-of-the-parts...