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Stock Return Predictability and Asset Pricing Models

https://doi.org/10.1093/rfs/hhg059
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

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An Empirical Bayes Approach to Statistics
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The equity premium: A puzzle
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An intertemporal asset pricing model with stochastic consumption and investment opportunities
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A Bayesian approach to testing portfolio efficiency
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Stock Returns and the Term Structure
inferredcites →https://doi.org/10.1016/0304-405x(90)90004-jopenalex-snapshot
Bayesian inference in asset pricing tests
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Posterior, predictive, and utility-based approaches to testing the arbitrage pricing theory
inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-snapshot
Common risk factors in the returns on stocks and bonds
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Multifactor models do not explain deviations from the CAPM
inferredcites →https://doi.org/10.1016/0304-4076(90)90095-bopenalex-snapshot
Intertemporal asset pricing
inferredcites →https://doi.org/10.1016/0304-4076(91)90012-3openalex-snapshot
A bayesian approach to testing the arbitrage pricing theory
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Comparing asset pricing models: an investment perspective
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Stock return predictability and model uncertainty
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Predictive regressions
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The Variation of Economic Risk Premiums
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A Cross-Sectional Test of an Investment-Based Asset Pricing Model
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Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
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The Restrictions on Predictability Implied by Rational Asset Pricing Models
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An Intertemporal Equilibrium Beta Pricing Model
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Data-Snooping Biases in Tests of Financial Asset Pricing Models
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Econometric Evaluation of Asset Pricing Models
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Costs of Equity Capital and Model Mispricing
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A Critique of the Stochastic Discount Factor Methodology
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Conditioning Variables and the Cross Section of Stock Returns
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Portfolio Selection and Asset Pricing Models
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Investing for the Long Run when Returns Are Predictable
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Capital Asset Prices with and without Negative Holdings
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When Will Mean-Variance Efficient Portfolios be Well Diversified?
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Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency
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Expected Returns, Time-Varying Risk, and Risk Premia
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On the Predictability of Stock Returns: An Asset‐Allocation Perspective
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On Persistence in Mutual Fund Performance
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Prospect Theory and Asset Prices
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The Empirical Bayes Approach to Statistical Decision Problems
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8. Data-Snooping Biases in Tests of Financial Asset Pricing Models
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AN EMPIRICAL BAYES APPROACH TO STATISTICS
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Conditioning Variables and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.290281openalex-snapshot
An Exact Bayes Test of Asset Pricing Models with Application to International Markets
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Large Sample Properties of Generalized Method of Moments Estimators
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A Test of the Efficiency of a Given Portfolio
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An Intertemporal Capital Asset Pricing Model
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Prospect Theory: An Analysis of Decision under Risk
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Estimation Risk and Optimal Portfolio Choice.
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On the Predictability of Stock Returns: An Asset-Allocation Perspective
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On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.3386/w7284openalex-snapshot
Comparing Asset Pricing Models: An Investment Perspective
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Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Asset Allocation
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Learning in Financial Markets
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Predictive Systems: Living with Imperfect Predictors
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Vol. 3, No. 1, in January 2010
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Excès de confiance et optimisme des dirigeants : cas des firmes initiatrices d'une acquisition
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