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In-sample vs. out-of-sample tests of stock return predictability in the context of data mining
16 references·16 citing·38 second hopsampled
In-sample vs. out-of-sample tests of stock return predictability in the context of data mining (2005)In-sample vs. out-of-sample tests of stoc…Tests of equal forecast accuracy and encompassing for nested models (2001)Tests of equal forecast accur…Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Consumption, Aggregate Wealth…The Equity Share in New Issues and Aggregate Stock Returns (2000)The Equity Share in New Issue…Forecasting Economic Time Series (2000)Forecasting Economic Time Ser…Predictive regressions (1999)Predictive regressionsAsymptotic Inference about Predictive Ability (1996)Asymptotic Inference about Pr…Comparing Predictive Accuracy (1994)Comparing Predictive AccuracyDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Efficient Capital Markets: II (1991)Efficient Capital Markets: IIEfficient Capital Markets: II (1991)Efficient Capital Markets: IIBusiness 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 …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…Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns (2020)Predictability of GCC stock r…Improving the predictability of stock returns with Bitcoin prices (2018)Improving the predictability …Can institutions and macroeconomic factors predict stock returns in emerging markets? (2014)Can institutions and macroeco…Do oil prices predict economic growth? New global evidence (2013)Do oil prices predict economi…Advances in Forecast Evaluation (2013)Advances in Forecast Evaluati…Macroeconomic Variables and South African Stock Return Predictability (2012)Macroeconomic Variables and S…Reality Checks and Comparisons of Nested Predictive Models (2011)Reality Checks and Comparison…Markov Switching Models in Empirical Finance (2011)Markov Switching Models in Em…Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns (2011)Demographic Trends, the Divid…Consumption, (dis)aggregate wealth, and asset returns (2010)Consumption, (dis)aggregate w…On the Construction of the European Economic Sentiment Indicator* (2009)On the Construction of the Eu…International Stock Return Predictability: What is the Role of the United States? (2009)International Stock Return Pr…On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods (2008)On the Reversal of Return and…Forecast Evaluation of Small Nested Model Sets (2008)Forecast Evaluation of Small …Can Managers Forecast Aggregate Market Returns? (2005)Can Managers Forecast Aggrega…A Comprehensive Look at the Empirical Performance of Equity Premium Prediction (2004)A Comprehensive Look at the E…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)Common risk factors in the returns on stocks and bonds (1993)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Corporate financing and investment decisions when firms have information that investors do not have (1984)The Cross-Section of Expected Stock Returns (1992)Trading Is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors (2000)Capital markets research in accounting (2001)An Intertemporal Capital Asset Pricing Model (1973)A Theory of the Term Structure of Interest Rates (1985)Expected stock returns and volatility (1987)Investor Psychology and Asset Pricing (2001)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)Illiquidity and stock returns: cross-section and time-series effects (2002)Time to Build and Aggregate Fluctuations (1982)Statistical analysis of cointegration vectors (1988)Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models (1991)Expected Stock Returns and Variance Risk Premia (2009)Presidential Address: Discount Rates (2011)The short of it: Investor sentiment and anomalies (2011)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Does the Stock Market Overreact? (1985)The Efficient Market Hypothesis and Its Critics (2003)An Almost Ideal Demand System (1980)Empirical exchange rate models of the seventies (1983)Generalized autoregressive conditional heteroskedasticity (1986)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)A Comprehensive Look at The Empirical Performance of Equity Premium Prediction (2007)Strictly Proper Scoring Rules, Prediction, and Estimation (2007)
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References

  • 1994Comparing Predictive Accuracy5,495 cited
  • 1991Efficient Capital Markets: II5,346 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
  • 1988Stock Prices, Earnings, and Expected Dividends2,457 cited
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 2001Consumption, Aggregate Wealth, and Expected Stock Returns2,187 cited
  • 2000Forecasting Economic Time Series1,768 cited
  • 1999Predictive regressions1,614 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
  • 1996Asymptotic Inference about Predictive Ability1,415 cited
  • 1991Efficient Capital Markets: II1,271 cited
  • 2000The Equity Share in New Issues and Aggregate Stock Returns1,183 cited
  • 2001Tests of equal forecast accuracy and encompassing for nested models

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1,178 cited

Cited by

  • 2008On the Reversal of Return and Dividend Growth Predictability: A Tale of Two Periods230 cited
  • 2013Advances in Forecast Evaluation171 cited
  • 2009International Stock Return Predictability: What is the Role of the United States?165 cited
  • 2005Can Managers Forecast Aggregate Market Returns?161 cited
  • 2013Do oil prices predict economic growth? New global evidence142 cited
  • 2004A Comprehensive Look at the Empirical Performance of Equity Premium Prediction141 cited
  • 2020Predictability of GCC stock returns: The role of geopolitical risk and crude oil returns120 cited
  • 2010Consumption, (dis)aggregate wealth, and asset returns113 cited
  • 2011Markov Switching Models in Empirical Finance109 cited
  • 2011Reality Checks and Comparisons of Nested Predictive Models87 cited
  • 2018Improving the predictability of stock returns with Bitcoin prices83 cited
  • 2008Forecast Evaluation of Small Nested Model Sets75 cited
  • 2012Macroeconomic Variables and South African Stock Return Predictability73 cited
  • 2009On the Construction of the European Economic Sentiment Indicator*73 cited
  • 2014Can institutions and macroeconomic factors predict stock returns in emerging markets?72 cited
  • 2011Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns72 cited