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On the statistical and economic performance of stock return predictive regression models: an international perspective
16 references·1 citing·35 second hop
On the statistical and economic performance of stock return predictive regression models: an international perspective (2010)On the statistical and economic performan…The Econometrics of Financial Markets (2012)The Econometrics of Financial…The Dog That Did Not Bark: A Defense of Return Predictability (2007)The Dog That Did Not Bark: A …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…Stock Return Predictability: Is it There? (2006)Stock Return Predictability: …Predicting returns with financial ratios (2004)Predicting returns with finan…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Stock Return Predictability: Is it There? (2001)Stock Return Predictability: …Predictive regressions (1999)Predictive regressionsThe Econometrics of Financial Markets (1997)The Econometrics of Financial…The Risk and Predictability of International Equity Returns (1993)The Risk and Predictability o…Business conditions and expected returns on stocks and bonds (1989)Business conditions and expec…Stock Prices, Earnings, and Expected Dividends (1988)Stock Prices, Earnings, and E…Dividend yields and expected stock returns (1988)Dividend yields and expected …The Performance of Mutual Funds in the Period 1945-1964 (1968)The Performance of Mutual Fun…Mutual Fund Performance (1966)Mutual Fund PerformanceStock return prediction: Stacking a variety of models (2022)Stock return prediction: Stac…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)The General Theory of Employment, Interest and Money. (1936)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)An Intertemporal Capital Asset Pricing Model (1973)The arbitrage theory of capital asset pricing (1976)The relationship between return and market value of common stocks (1981)Industry costs of equity (1997)Illiquidity and stock returns: cross-section and time-series effects (2002)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Investor Psychology and Asset Pricing (2001)The Efficient Market Hypothesis and Its Critics (2003)Asset returns and inflation (1977)Stock Returns and the Term Structure (1985)Expected Stock Returns and Variance Risk Premia (2009)The short of it: Investor sentiment and anomalies (2011)The Economic Costs of Conflict: A Case Study of the Basque Country (2003)Giving Content to Investor Sentiment: The Role of Media in the Stock Market (2007)Market Liquidity and Funding Liquidity (2008)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)How Active Is Your Fund Manager? A New Measure That Predicts Performance (2009)Luck versus Skill in the Cross‐Section of Mutual Fund Returns (2010)Introductory Econometrics for Finance (2008)
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References

  • 2012The Econometrics of Financial Markets5,875 cited
  • 1997The Econometrics of Financial Markets5,007 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
  • 1966Mutual Fund Performance3,932 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
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1968The Performance of Mutual Funds in the Period 1945-19641,708 cited
  • 1999Predictive regressions1,614 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • 2007The Dog That Did Not Bark: A Defense of Return Predictability1,227 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models1,178 cited
  • 1993The Risk and Predictability of International Equity Returns1,065 cited
  • 2004Predicting returns with financial ratios1,002 cited
  • 2001Stock Return Predictability: Is it There?

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  • 2022Stock return prediction: Stacking a variety of models31 cited