This paper examines return predictability when the investor is uncertain about the right state variables. A novel feature of the model averaging approach used in this paper is to account for finite-sample bias of the coefficients in the predictive regressions. Drawing on an extensive...

The literature provides broad evidence for the seasonality of stock market returns, but is very scarce regarding the potential seasonality of investment funds performance. Using a sample of 5349 Equity Europe or Equity Eurozone investment funds, this article contributes to fill this gap by...