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Forecasting Stock Returns in Good and Bad Times: The Role of Market States
16 references·1 citing·41 second hopsampled
Forecasting Stock Returns in Good and Bad Times: The Role of Market States (2012)Forecasting Stock Returns in Good and Bad…Momentum has its moments (2014)Momentum has its momentsInternational Stock Return Predictability: What Is the Role of the United States? (2013)International Stock Return Pr…Time Series Momentum (2011)Time Series MomentumPresidential Address: Discount Rates (2011)Presidential Address: Discoun…Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy (2009)Out-of-Sample Equity Premium …Economic Links and Predictable Returns (2008)Economic Links and Predictabl…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…The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks (2005)The Stock Market's Reaction t…Market States and Momentum (2004)Market States and MomentumThe Economic Value of Volatility Timing (2001)The Economic Value of Volatil…Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation (1992)Herd on the Street: Informati…The Variation of Economic Risk Premiums (1991)The Variation of Economic Ris…Stock Prices, Earnings and Expected Dividends (1988)Stock Prices, Earnings and Ex…Permanent and Temporary Components of Stock Prices (1988)Permanent and Temporary Compo…Time-frequency forecast of the equity premium (2020)Time-frequency forecast of th…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)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Efficient Capital Markets: II (1991)Measuring and Testing the Impact of News on Volatility (1993)Financial Constraints Risk (2006)The relationship between return and market value of common stocks (1981)Does the Stock Market Overreact? (1985)Noise Trader Risk in Financial Markets (1990)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1988)Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles (2000)The Cross‐Section of Volatility and Expected Returns (2006)Editor's Choice Digesting Anomalies: An Investment ApproachEfficient Capital Markets: A Review of Theory and Empirical Work (1970)Common risk factors in the returns on stocks and bonds (1993)Digesting Anomalies: An Investment Approach (2012)… and the Cross-Section of Expected Returns (2015)Business conditions and expected returns on stocks and bonds (1989)Comparing Predictive Accuracy (1994)To Explain or to Predict? (2010)On Persistence in Mutual Fund Performance (1997)Driven to Distraction: Extraneous Events and Underreaction to Earnings News (2009)Investor Inattention and Friday Earnings Announcements (2009)By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior (1999)Forecasting the Equity Risk Premium: The Role of Technical Indicators (2011)Investor Sentiment Aligned: A Powerful Predictor of Stock Returns (2014)Forecasting: theory and practice (2022)Judgment under Uncertainty: Heuristics and Biases (1974)Judgment under Uncertainty: Heuristics and Biases (1975)Betting against beta (2013)Value and Momentum Everywhere (2013)Dividend yields and expected stock returns (1988)Macroeconomic Forecasting Using Diffusion Indexes (2002)Policy Uncertainty and Corporate Investment (2015)
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References

  • 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction3,984 cited
  • 1988Permanent and Temporary Components of Stock Prices3,036 cited
  • 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?2,916 cited
  • 1988Stock Prices, Earnings and Expected Dividends2,656 cited
  • 2006Approximately normal tests for equal predictive accuracy in nested models2,513 cited
  • 2011Presidential Address: Discount Rates2,222 cited
  • 1991The Variation of Economic Risk Premiums1,740 cited
  • 2009Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy1,684 cited
  • 2011Time Series Momentum1,484 cited
  • 2008Economic Links and Predictable Returns1,411 cited
  • 1992Herd on the Street: Informational Inefficiencies in a Market with Short-Term Speculation1,124 cited
  • 2004Market States and Momentum1,026 cited
  • 2001The Economic Value of Volatility Timing848 cited
  • 2005The Stock Market's Reaction to Unemployment News: Why Bad News Is Usually Good for Stocks793 cited
  • 2013International Stock Return Predictability: What Is the Role of the United States?725 cited

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  • 2014Momentum has its moments705 cited
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    • 2020Time-frequency forecast of the equity premium15 cited