We use a comprehensive new dataset of asset-class returns in 38 developed countries to examine a popular class of retirement spending rules that prescribe annual withdrawals as a constant percentage of the retirement account balance. A 65-year-old couple willing to bear a 5% chance of financial...

Several prior studies use reduced-form models of bankruptcy or default risk to proxy for corporate distress and find evidence of a significant negative relation between distress risk and average returns. This paper introduces a substantially broader measure of firm failure risk, the probability...

We characterize the joint distribution of long-horizon returns on domestic stocks, international stocks, bonds, and bills. We study 38 developed countries with a sample period of 1890 to 2019, and our data formation procedures mitigate survivor and easy data biases. Bootstrap estimates of the...

In this paper, we examine the robust Wald test statistic for SUR systems with adding up restrictions where the same explanatory variables are present in all equations and where heteroskedasticity and/or autocorrelation of unknown forms may be present. For this case, the coefficients are usually...

We use the pattern recognition algorithm of Lo, Mamaysky, and Wang () with some modifications to determine whether head-and-shoulders (HS) price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a...

This paper examines statistical problems which arise in empirical applications of the partial adjustment model with autoregressive errors when the model is nearly nonidentified. The results of Monte Carlo experiments show that the NLS estimation criterion function is multipeaked with high...

We use the pattern recognition algorithm of Lo et al. (2000) with some modifications to determine whether quot;head-and-shouldersquot; price patterns have predictive power for future stock returns. The modifications include the use of filters based on typical price patterns identified by a...