Thornton, Daniel L. - In: Credit and Capital Markets – Kredit und Kapital 49 (2016) 4, pp. 485-505
A seminal paper by Fama and Bliss (1987) showed that a simple regression model could explain a significant portion of 1-year ahead excess returns. Cochrane and Piazzesi (2005) showed that their regression model could explain a significantly larger por tion of excess returns than Fama and...