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Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach
16 references·2 citing·35 second hop
Predictability of Equity Returns over Different Time Horizons: A Nonparametric Approach (2016)Predictability of Equity Returns over Dif…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …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: …Predictive regressions (1999)Predictive regressionsDividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement (1992)Dividend Yields and Expected …Stock Returns, Expected Returns, and Real Activity (1990)Stock Returns, Expected Retur…A VARIANCE DECOMPOSITION FOR STOCK RETURNS (1990)A VARIANCE DECOMPOSITION FOR …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 …Dividend yields and expected stock returns (1988)Dividend yields and expected …Cointegration and Tests of Present Value Models (1987)Cointegration and Tests of Pr…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…Distribution of the Estimators for Autoregressive Time Series With a Unit Root (1979)Distribution of the Estimator…Distribution of the Estimators for Autoregressive Time Series with a Unit Root (1979)Distribution of the Estimator…Stock return prediction: Stacking a variety of models (2022)Stock return prediction: Stac…Robustify Financial Time Series Forecasting with Bagging (2013)Robustify Financial Time Seri…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)The Econometrics of Financial Markets (1997)The Econometrics of Financial Markets (2012)Expectations of Returns and Expected Returns (2014)Empirical Asset Pricing via Machine Learning (2020)A Monetary History of the United States 1867-1960 (1964)Time Series Analysis Forecasting and Control. (1971)Time Series Analysis: Forecasting and Control (1977)Statistical analysis of cointegration vectors (1988)Bounds testing approaches to the analysis of level relationships (2001)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)A Theory of the Term Structure of Interest Rates (1985)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)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)Comparing Predictive Accuracy (1994)Presidential Address: Discount Rates (2011)Stock Prices, Earnings, and Expected Dividends (1988)More Than Words: Quantifying Language to Measure Firms' Fundamentals (2008)Testing for unit roots in heterogeneous panels (2003)
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References

  • 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root23,183 cited
  • 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root9,128 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
  • 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors2,425 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1987Cointegration and Tests of Present Value Models2,160 cited
  • 1990A VARIANCE DECOMPOSITION FOR STOCK RETURNS1,822 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 1999Predictive regressions1,614 cited
  • 1990Stock Returns, Expected Returns, and Real Activity1,553 cited
  • 1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

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1,521 cited
  • 2006Stock Return Predictability: Is it There?1,295 cited
  • Cited by

    • 2013Robustify Financial Time Series Forecasting with Bagging33 cited
    • 2022Stock return prediction: Stacking a variety of models31 cited