We compare several representative sophisticated model averaging and variable selection techniques of forecasting stock returns. When estimated traditionally, our results confirm that the simple combination of individual predictors is superior. However, sophisticated models improve dramatically...

This book provides a comprehensive analysis of asset price movement. It examines different aspects of stock return predictability, the interaction between stock return and dividend growth predictability, the relationship between stocks and bonds, and the resulting implications for asset price...

According to no-arbitrage, risk-adjusted returns should be unpredictable. Using several prominent factor models and a large cross-section of anomalies, we find that past pricing errors predict future risk-adjusted anomaly returns. We show that past pricing errors can be interpreted as deviations...

We propose a model to forecast very large realized covariance matrices of returns, applying it to the constituents of the S&P 500 on a daily basis. To address the curse of dimensionality, we decompose the return covariance matrix using standard firm-level factors (e.g., size, value and...