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The Myth of Long-Horizon Predictability
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What this work says
Outgoing claims: the papers this work cites, builds on, or argues with.
inferredcites →https://doi.org/10.1007/978-0-387-77117-5_19openalex-snapshot
Persistence, Predictability, and Portfolio Planning
inferredcites →https://doi.org/10.1016/0304-405x(88)90020-7openalex-snapshot
Dividend yields and expected stock returns
inferredcites →https://doi.org/10.1016/0304-405x(88)90021-9openalex-snapshot
Mean reversion in stock prices
inferredcites →https://doi.org/10.1016/0304-405x(89)90086-xopenalex-snapshot
Drawing inferences from statistics based on multiyear asset returns
inferredcites →https://doi.org/10.1016/j.jfineco.2002.11.002openalex-snapshot
Predicting returns with financial ratios
inferredcites →https://doi.org/10.1016/j.jfineco.2004.05.008openalex-snapshot
Expected returns and expected dividend growth
inferredcites →https://doi.org/10.1016/j.jfineco.2005.05.008openalex-snapshot
Efficient tests of stock return predictability☆
inferredcites →https://doi.org/10.1016/s0304-405x(03)00065-5openalex-snapshot
Long-horizon regressions: theoretical results and applications
inferredcites →https://doi.org/10.1016/s0304-405x(98)00026-9openalex-snapshot
Market efficiency, long-term returns, and behavioral finance1The comments of Brad Barber, David Hirshleifer, S.P. Kothari, Owen Lamont, Mark Mitchell, Hersh Shefrin, Robert Shiller, Rex Sinquefield, Richard Thaler, Theo Vermaelen, Robert Vishny, Ivo Welch, and a referee have been helpful. Kenneth…
inferredcites →https://doi.org/10.1016/s0927-5398(01)00037-8openalex-snapshot
Why long horizons? A study of power against persistent alternatives
inferredcites →https://doi.org/10.1016/s1574-0102(03)01022-7openalex-snapshot
Chapter 13 Consumption-based asset pricing
inferredcites →https://doi.org/10.1016/s1574-0102(03)01027-6openalex-snapshot
Chapter 18 A survey of behavioral finance
inferredcites →https://doi.org/10.1017/s0022109000003227openalex-snapshot
Predictive Regressions: A Reduced-Bias Estimation Method
inferredcites →https://doi.org/10.1080/07350015.1993.10509948openalex-snapshot
Temporary Components of Stock Prices: A Skeptic's View
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By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
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Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis
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Permanent and Temporary Components of Stock Prices
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A Unified Approach to Testing for Serial Correlation in Stock Returns
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Do Arbitrage Pricing Models Explain the Predictability of Stock Returns?
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On Predicting Stock Returns with Nearly Integrated Explanatory Variables
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NOTE ON BIAS IN THE ESTIMATION OF AUTOCORRELATION
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The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
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Measuring the Predictable Variation in Stock and Bond Returns
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Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?
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Stock Return Predictability: A Bayesian Model Selection Perspective
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Tests of Financial Models in the Presence of Overlapping Observations
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Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
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Investing for the Long Run when Returns Are Predictable
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Asset Pricing at the Millennium
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The Equity Share in New Issues and Aggregate Stock Returns
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Consumption, Aggregate Wealth, and Expected Stock Returns
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Variable Selection for Portfolio Choice
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Pseudo Market Timing and the Long‐Run Underperformance of IPOs
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Spurious Regressions in Financial Economics?
inferredcites →https://doi.org/10.1111/j.1467-9965.1994.tb00052.xopenalex-snapshot
THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED1
inferredcites →https://doi.org/10.1111/j.1468-0262.2006.00679.xopenalex-snapshot
Optimal Inference in Regression Models with Nearly Integrated Regressors
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04731.xopenalex-snapshot
Predictable Stock Returns: The Role of Small Sample Bias
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04732.xopenalex-snapshot
Testing the Predictive Power of Dividend Yields
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb02747.xopenalex-snapshot
Stock Return Predictability and The Role of Monetary Policy
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb04814.xopenalex-snapshot
Assessing Goodness-Of-Fit of Asset Pricing Models: The Distribution of the Maximal R 2
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Can Managers Forecast Aggregate Market Returns?
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Predicting Returns with Managerial Decision Variables: Is There a Small‐Sample Bias?
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Consumption and Portfolio Decisions when Expected Returns are Time Varying
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Predicting the Equity Premium with Dividend Ratios
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The Econometrics of Financial Markets
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Market Efficiency, Long-Term Returns, and Behavioral Finance
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Consumption, Aggregate Wealth and Expected Stock Returns
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Stock Return Predictability: A Bayesian Model Selection Perspective
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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
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Dividend Persistence and Return Predictability
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Large Sample Properties of Generalized Method of Moments Estimators
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Testing the Predictive Power of Dividend Yields
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Estimating Conditional Expectations when Volatility Fluctuates
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A Comprehensive Look at the Empirical Performance of Equity Premium Prediction
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On the Importance of Measuring Payout Yield: Implications for Empirical Asset Pricing
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Reconciling the Return Predictability Evidence
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Mean Reversion in Stock Prices: Evidence and Implications
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Drawing Inferences From Statistics Based on Multi-Year Asset Returns
inferredcites →https://doi.org/10.3386/w4995openalex-snapshot
By Force of Habit: A Consumption-Based Explanation of Aggregate Stock Market Behavior
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Consumption and Portfolio Decisions When Expected Returns are Time Varying
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Forecasting the U.S. Dollar in the 21st Century
inferred← citeshttps://doi.org/10.1016/j.jmoneco.2016.01.003openalex-snapshot
Does wage rigidity make firms riskier? Evidence from long-horizon return predictability
inferred← citeshttps://doi.org/10.1016/j.qref.2016.04.010openalex-snapshot
Examining return predictability of industry style portfolios with prior return relative to a benchmark
inferred← citeshttps://doi.org/10.1016/j.qref.2018.04.012openalex-snapshot
Decomposing the predictive power of local and global financial valuation ratios
inferred← citeshttps://doi.org/10.1016/j.red.2017.12.008openalex-snapshot
A New Keynesian Q Theory and the Link between Inflation and the Stock Market
inferred← citeshttps://doi.org/10.1016/j.resourpol.2023.104484openalex-snapshot
Does sustainability improve financial performance? An analysis of Latin American oil and gas firms
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The impact of tradeoff between risk and return on mean reversion in sovereign CDS markets
inferred← citeshttps://doi.org/10.1017/s0022109000003549openalex-snapshot
Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression
inferred← citeshttps://doi.org/10.1017/s0022109011000135openalex-snapshot
New Methods for Inference in Long-Horizon Regressions
inferred← citeshttps://doi.org/10.1017/s0022109011000329openalex-snapshot
Demographic Trends, the Dividend-Price Ratio, and the Predictability of Long-Run Stock Market Returns
inferred← citeshttps://doi.org/10.1017/s0022109014000453openalex-snapshot
Stock Return Predictability and Variance Risk Premia: Statistical Inference and International Evidence
inferred← citeshttps://doi.org/10.1017/s0022109015000058openalex-snapshot
Dividend Yields, Dividend Growth, and Return Predictability in the Cross Section of Stocks
inferred← citeshttps://doi.org/10.1017/s002210901600079xopenalex-snapshot
Industrial Electricity Usage and Stock Returns
inferred← citeshttps://doi.org/10.1017/s0022109017000813openalex-snapshot
Risk Premium Information from Treasury-Bill Yields
inferred← citeshttps://doi.org/10.1017/s0266466622000354openalex-snapshot
CONSISTENT LOCAL SPECTRUM INFERENCE FOR PREDICTIVE RETURN REGRESSIONS
inferred← citeshttps://doi.org/10.1057/9780230251298_10openalex-snapshot
Strategic Tilting around the SAA Benchmark
inferred← citeshttps://doi.org/10.1080/0015198x.2018.1547056openalex-snapshot
Long-Horizon Predictability: A Cautionary Tale
inferred← citeshttps://doi.org/10.1080/0015198x.2022.2073782openalex-snapshot
Forecasting the Long-Term Equity Premium for Asset Allocation
inferred← citeshttps://doi.org/10.1080/0015198x.2024.2358737openalex-snapshot
Estimating Long-Term Expected Returns
inferred← citeshttps://doi.org/10.1080/0015198x.2025.2602524openalex-snapshot
Big Data Meets the Turbulent Oil Market
inferred← citeshttps://doi.org/10.1080/07350015.2013.827985openalex-snapshot
Long-Horizon Return Regressions With Historical Volatility and Other Long-Memory Variables
inferred← citeshttps://doi.org/10.1080/07350015.2016.1191502openalex-snapshot
The Variance Risk Premium: Components, Term Structures, and Stock Return Predictability
inferred← citeshttps://doi.org/10.1080/07350015.2016.1215317openalex-snapshot
Asymptotic Inference for Performance Fees and the Predictability of Asset Returns
inferred← citeshttps://doi.org/10.1080/07474930802467241openalex-snapshot
Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments
inferred← citeshttps://doi.org/10.1080/09603100701735961openalex-snapshot
The relative contribution of conditional mean and volatility in bivariate returns to international stock market indices
inferred← citeshttps://doi.org/10.1080/09603107.2013.797556openalex-snapshot
Stock returns and inflation risk: economic versus statistical evidence
inferred← citeshttps://doi.org/10.1080/10485252.2013.870173openalex-snapshot
Nonparametric testing for long-horizon predictability with persistent covariates
inferred← citeshttps://doi.org/10.1080/1351847x.2024.2306942openalex-snapshot
Investor sentiment and stock market returns: a story of night and day
inferred← citeshttps://doi.org/10.1080/14697688.2012.751122openalex-snapshot
Short-horizon return predictability and oil prices
inferred← citeshttps://doi.org/10.1080/14697688.2018.1550266openalex-snapshot
The Endo-Exo Problem in High Frequency Financial Price Fluctuations and Rejecting Criticality
inferred← citeshttps://doi.org/10.1080/14697688.2021.2020888openalex-snapshot
Size and power in tests of return predictability
inferred← citeshttps://doi.org/10.1086/663989openalex-snapshot
Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
inferred← citeshttps://doi.org/10.1093/9780197699898.003.0019openalex-snapshot
Problems and Discussion Questions
inferred← citeshttps://doi.org/10.1093/9780197699898.004.0002openalex-snapshot
Problems and Discussion Questions
inferred← citeshttps://doi.org/10.1093/cesifo/ifq011openalex-snapshot
Demographics and US Stock Market Fluctuations
inferred← citeshttps://doi.org/10.1093/jjfinec/nbs011openalex-snapshot
Jackknife for Bias Reduction in Predictive Regressions
inferred← citeshttps://doi.org/10.1093/jjfinec/nbt017openalex-snapshot
Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships
inferred← citeshttps://doi.org/10.1093/jjfinec/nbx009openalex-snapshot
Forecasting Stock Returns Using Option-Implied State Prices*
inferred← citeshttps://doi.org/10.1093/jjfinec/nbz002openalex-snapshot
An Empirical Implementation of the Ross Recovery Theorem as a Prediction Device
inferred← citeshttps://doi.org/10.1093/jjfinec/nbz017openalex-snapshot
Exact Inference in Long-Horizon Predictive Quantile Regressions with an Application to Stock Returns
inferred← citeshttps://doi.org/10.1093/qje/qjs001openalex-snapshot
Variable Rare Disasters: An Exactly Solved Framework for Ten Puzzles in Macro-Finance *
inferred← citeshttps://doi.org/10.1093/rapstu/raaa002openalex-snapshot
Stock Price Movements: Business-Cycle and Low-Frequency Perspectives
inferred← citeshttps://doi.org/10.1093/rapstu/raac003openalex-snapshot
Capital Structure Priority Effects in Durations, Stock-Bond Comovements, and Factor Pricing Models
inferred← citeshttps://doi.org/10.1093/restud/rdaa024openalex-snapshot
Monetary Policy and the Predictability of Nominal Exchange Rates
inferred← citeshttps://doi.org/10.1093/rfs/hhaf110openalex-snapshot
Dividend Momentum and Stock Return Predictability: A Bayesian Approach
inferred← citeshttps://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferred← citeshttps://doi.org/10.1093/rfs/hhm046openalex-snapshot
The Dog That Did Not Bark: A Defense of Return Predictability
inferred← citeshttps://doi.org/10.1093/rfs/hhm074openalex-snapshot
Reconciling the Return Predictability Evidence
inferred← citeshttps://doi.org/10.1093/rfs/hhn056openalex-snapshot
Multiple-Predictor Regressions: Hypothesis Testing
inferred← citeshttps://doi.org/10.1093/rfs/hhn069openalex-snapshot
Forecasting the Equity Premium: Where We Stand Today
inferred← citeshttps://doi.org/10.1093/rfs/hhn087openalex-snapshot
Time-Varying Risk Premiums and the Output Gap
inferred← citeshttps://doi.org/10.1093/rfs/hhp008openalex-snapshot
Expected Stock Returns and Variance Risk Premia
inferred← citeshttps://doi.org/10.1093/rfs/hhp063openalex-snapshot
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferred← citeshttps://doi.org/10.1093/rfs/hhs069openalex-snapshot
Out-of-Sample Predictions of Bond Excess Returns and Forward Rates: An Asset Allocation Perspective
inferred← citeshttps://doi.org/10.1093/rfs/hht005openalex-snapshot
What Drives Stock Price Movements?
inferred← citeshttps://doi.org/10.1093/rfs/hht131openalex-snapshot
Expected Returns and Dividend Growth Rates Implied by Derivative Markets
inferred← citeshttps://doi.org/10.1093/rfs/hhu139openalex-snapshot
Robust Econometric Inference for Stock Return Predictability
inferred← citeshttps://doi.org/10.1093/rfs/hhz121openalex-snapshot
The Equity Premium and the One Percent
inferred← citeshttps://doi.org/10.1093/rfs/hhz135openalex-snapshot
Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based
inferred← citeshttps://doi.org/10.1093/rof/rfaa011openalex-snapshot
Value Return Predictability across Asset Classes and Commonalities in Risk Premia
inferred← citeshttps://doi.org/10.1093/rof/rfac035openalex-snapshot
On the Economic Significance of Stock Return Predictability
inferred← citeshttps://doi.org/10.1093/rof/rfs025openalex-snapshot
The “Fed Model” and the Predictability of Stock Returns
inferred← citeshttps://doi.org/10.1093/rof/rft061openalex-snapshot
Equilibrium Predictability, Term Structure of Equity Premia, and Other Return Characteristics
inferred← citeshttps://doi.org/10.1108/jfep-11-2016-0074openalex-snapshot
Economic policy uncertainty, market returns and expected return predictability
inferred← citeshttps://doi.org/10.1108/mf-11-2018-0570openalex-snapshot
Some evidence from a principal component approach to measure a new investor sentiment index in the Tunisian stock market
inferred← citeshttps://doi.org/10.1108/s0731-905320140000033019openalex-snapshot
Assessing the Power of Long-Horizon Predictive Tests in Models of Bull and Bear Markets
inferred← citeshttps://doi.org/10.1108/s1571-038620140000023004openalex-snapshot
Exchange Rates, Fundamentals, and Nonlinearities: A Review and Some Further Evidence from a Century of Data
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