Antolin-Diaz, Juan; Petrella, Ivan; Rubio Ramírez, Juan - 2021
skepticism about large amounts of return predictability while imposing the CS restrictions. In doing so, we show how a common … predictability, which we label "dividend momentum." Compared to estimation based on ordinary least squares, our restricted … informative prior leads to a much more moderate, but still significant, degree of return predictability, with forecasts that are …