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Efficient Tests of Stock Return Predictability · Study

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PreprintEfficient Tests of Stock Return Predictability

John Y. Campbell2002

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Preprintgreen2002

Efficient Tests of Stock Return Predictability

John Y. Campbell · Motohiro Yogo

92 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Financial Analysis and Corporate Governance Stock Market Forecasting Methods

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References

1988Testing for a Unit Root in Time Series Regression 1981Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root 2012The Econometrics of Financial Markets 1996Efficient Tests for an Autoregressive Unit Root 1992Efficient Tests for an Autoregressive Unit Root 1989Business conditions and expected returns on stocks and bonds 1988Dividend yields and expected stock returns 1977Asset returns and inflation

Cited by

2006Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?2010Predictability of Returns and Cash Flows 2006Reconciling the Return Predictability Evidence 2011Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence 2002Expected Returns and Expected Dividend Growth 2005Rational Inattention: A Solution to the Forward Discount Puzzle

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Details

Year2002

Typepreprint

Published2002-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations92

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.343782

openalex_workW2104839685

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2003

Efficient Tests of Stock Return Predictability

2005International Financial Adjustment