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A Simple Nonlinear Predictive Model for Stock Returns

https://doi.org/10.2139/ssrn.3051006
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25/25 checkable references clean · checked 2026-08-07

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The 25 checked references that resolve
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Explaining the Variance of Price–Dividend Ratios
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The Conditional Relationship between the Equity Risk Premium and the Dividend Price Ratio
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Predicting the Equity Premium with Dividend Ratios
resolves10.1214/aos/1009210546
Nonparametric estimation in null recurrent time series
resolves10.1016/j.jeconom.2014.05.015
Nonparametric predictive regression
resolves10.1016/s0304-405x(97)00002-0
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resolves10.1111/0022-1082.00065
Earnings and Expected Returns
resolves10.1093/rfs/hhm074
Reconciling the Return Predictability Evidence
resolves10.1080/07350015.2014.955174
Forecasting Equity Premium: Global Historical Average Versus Local Historical Average and Constraints
resolves10.1016/j.jfineco.2002.11.002
Predicting returns with financial ratios
resolves10.3386/t0051
Do We Reject Too Often? Small Sample Properties of Tests of Rational Expectations Models
resolves10.1016/s0304-4076(97)00011-0
Convergence rates and asymptotic normality for series estimators
resolves10.1111/j.1540-6261.1993.tb04731.x
Predictable Stock Returns: The Role of Small Sample Bias
resolves10.1017/s0266466699153015
ASYMPTOTICS FOR NONLINEAR TRANSFORMATIONS OF INTEGRATED TIME SERIES
resolves10.1111/1468-0262.00180
Nonlinear Regressions with Integrated Time Series
resolves10.1016/j.jeconom.2006.03.010
Selection of estimation window in the presence of breaks
resolves10.1093/jjfinec/nbv014
Halbert White Jr. Memorial JFEC Lecture: Pitfalls and Possibilities in Predictive Regression
resolves10.1016/s0304-405x(98)00020-8
Book-to-market ratios as predictors of market returns
resolves10.1016/b978-0-444-53683-9.00006-2
Forecasting Stock Returns
resolves10.1016/s0304-405x(99)00041-0
Predictive regressions
resolves10.1093/rfs/hhm014
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
The 2 references without a DOI — listed, not checked
no DOI — not checkedref1
no DOI — not checkedAdaptive orthogonal series estimation in additive stochastic regression models
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