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The Economic Value of Cross-predictability: A Performance-based Measure

https://doi.org/10.2139/ssrn.4674080
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(93)90023-5openalex-extracted
Common risk factors in the returns on stocks and bonds
inferredcites →https://doi.org/10.1016/j.jempfin.2019.08.002openalex-extracted
Horizontal industry relationships and return predictability
inferredcites →https://doi.org/10.1016/j.jfineco.2011.08.006openalex-extracted
Complicated firms
inferredcites →https://doi.org/10.1016/j.jfineco.2014.10.010openalex-extracted
A five-factor asset pricing model
inferredcites →https://doi.org/10.1016/j.jfineco.2018.11.008openalex-extracted
Technological Links and Predictable Returns
inferredcites →https://doi.org/10.1016/j.jfineco.2019.05.001openalex-extracted
Characteristics are covariances: A unified model of risk and return
inferredcites →https://doi.org/10.1016/j.jfineco.2019.06.008openalex-extracted
Shrinking the cross-section
inferredcites →https://doi.org/10.1016/j.jfineco.2019.10.007openalex-extracted
Shared analyst coverage: Unifying momentum spillover effects
inferredcites →https://doi.org/10.1016/j.jfineco.2021.10.011openalex-extracted
A frog in every pan: Information discreteness and the lead-lag returns puzzle
inferredcites →https://doi.org/10.1017/s0022109020000885openalex-extracted
Where Does the Predictability from Sorting on Returns of Economically Linked Firms Come From?
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/rfs/6.4.799openalex-extracted
Investment Analysis and the Adjustment of Stock Prices to Common Information
inferredcites →https://doi.org/10.1093/rfs/8.2.401openalex-extracted
Of Shepherds, Sheep, and the Cross-autocorrelations in Equity Returns
inferredcites →https://doi.org/10.1093/rfs/hhaa009openalex-extracted
Empirical Asset Pricing via Machine Learning
inferredcites →https://doi.org/10.1093/rfs/hhaa034openalex-extracted
Production Networks and Stock Returns: The Role of Vertical Creative Destruction
inferredcites →https://doi.org/10.1093/rfs/hhad009openalex-extracted
The Leading Premium
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-extracted
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhw107openalex-extracted
Mispricing Factors
inferredcites →https://doi.org/10.1093/rfs/hhz145openalex-extracted
Geographic Lead-Lag Effects
inferredcites →https://doi.org/10.1093/rof/rfx033openalex-extracted
Economic Links and Cross-Predictability of Stock Returns: Evidence from Characteristic-Based “Styles”
inferredcites →https://doi.org/10.1093/rof/rfx035openalex-extracted
Combination Return Forecasts and Portfolio Allocation with the Cross-Section of Book-to-Market Ratios
inferredcites →https://doi.org/10.1111/0022-1082.00231openalex-extracted
Trading Volume and Cross‐Autocorrelations in Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.1997.tb03808.xopenalex-extracted
On Persistence in Mutual Fund Performance
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00836.xopenalex-extracted
The Cross‐Section of Volatility and Expected Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2008.01379.xopenalex-extracted
Economic Links and Predictable Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2010.01578.xopenalex-extracted
Market Segmentation and Cross‐predictability of Returns
inferredcites →https://doi.org/10.1111/joes.12532openalex-extracted
Asset Pricing and Machine Learning: A critical review
inferredcites →https://doi.org/10.1111/jofi.12612openalex-extracted
Interpreting Factor Models
inferredcites →https://doi.org/10.1111/jofi.13199openalex-extracted
Principal Portfolios
inferredcites →https://doi.org/10.1146/annurev-financial-101521-104735openalex-extracted
Factor Models, Machine Learning, and Asset Pricing
inferredcites →https://doi.org/10.2139/ssrn.1508484openalex-extracted
International Stock Return Predictability: What is the Role of the United States?
inferredcites →https://doi.org/10.2139/ssrn.1752543openalex-extracted
Market Expectations in the Cross Section of Present Values
inferredcites →https://doi.org/10.2139/ssrn.2820700openalex-extracted
Dissecting Characteristics Nonparametrically
inferredcites →https://doi.org/10.2139/ssrn.3211106openalex-extracted
Factors That Fit the Time Series and Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.463005openalex-extracted
Industry Information Diffusion and the Lead-Lag Effect in Stock Returns
inferredcites →https://doi.org/10.2307/1913610openalex-extracted
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.2307/1913625openalex-extracted
A Test of the Efficiency of a Given Portfolio
inferredcites →https://doi.org/10.2469/faj.v58.n4.2453openalex-extracted
The Statistics of Sharpe Ratios
inferredcites →https://doi.org/10.3386/w2977openalex-extracted
When are Contrarian Profits Due to Stock Market Overreaction?
inferredcites →https://doi.org/10.3386/w30217openalex-extracted
The Virtue of Complexity in Return Prediction
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