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International stock return predictability under model uncertainty
16 references·3 citing·41 second hop
International stock return predictability under model uncertainty (2010)International stock return predictability…Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Predicting Excess Stock Retur…A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)A Comprehensive Look at The E…Approximately normal tests for equal predictive accuracy in nested models (2006)Approximately normal tests fo…Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)Risks for the Long Run: A Pot…By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)By Force of Habit: A Consumpt…Postwar U.S. Business Cycles: An Empirical Investigation (1997)Postwar U.S. Business Cycles:…The Conditional CAPM and the Cross-Section of Expected Returns (1996)The Conditional CAPM and the …Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)The Dividend-Price Ratio and …Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …Expected stock returns and volatility (1987)Expected stock returns and vo…The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)The Dividend-Price Ratio and …Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Asset returns and inflation (1977)Asset returns and inflationAn Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…International stock return predictability: Evidence from new statistical tests (2016)International stock return pr…The financial econometrics of price discovery and predictability (2015)The financial econometrics of…Stocks for the long run? Evidence from emerging markets (2014)Stocks for the long run? Evid…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)Specification Tests in Econometrics (1978)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Illiquidity and stock returns: cross-section and time-series effects (2002)The General Theory of Employment, Interest and Money, by John Maynard Keynes (1936)The General Theory of Employment, Interest and Money. (1936)Macroeconomics and Reality (1980)The Band Pass Filter (1999)On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations (2002)Measuring Uncertainty (2015)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)The equity premium: A puzzle (1985)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Presidential Address: Discount Rates (2011)Value and Momentum Everywhere (2013)… and the Cross-Section of Expected Returns (2015)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)Testing for a Unit Root in Time Series Regression (1988)ARCH modeling in finance (1992)A five-factor asset pricing model (2014)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)The Cross-Section of Expected Stock Returns (1992)Comparing Predictive Accuracy (1994)Investor Psychology and Security Market Under‐ and Overreactions (1998)Relative Income, Happiness, and Utility: An Explanation for the Easterlin Paradox and Other Puzzles (2008)
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References

  • 1997Postwar U.S. Business Cycles: An Empirical Investigation7,358 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1999By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior5,088 cited
  • 2000Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles4,249 cited
  • 1987Expected stock returns and volatility4,147 cited
  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1989Business conditions and expected returns on stocks and bonds3,934 cited
  • 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors3,784 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1977Asset returns and inflation2,701 cited
  • 1996The Conditional CAPM and the Cross-Section of Expected Returns2,537 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

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2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
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    • 2014Stocks for the long run? Evidence from emerging markets41 cited
    • 2015The financial econometrics of price discovery and predictability34 cited
    • 2016International stock return predictability: Evidence from new statistical tests32 cited