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Market-Based Short-Rate Uncertainty and Time-Varying Expected Returns

https://doi.org/10.2139/ssrn.5387369
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Outgoing claims: the papers this work cites, builds on, or argues with.

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(89)90095-0openalex-snapshot
Business conditions and expected returns on stocks and bonds
inferredcites →https://doi.org/10.1016/b978-0-444-53683-9.00006-2openalex-snapshot
Forecasting Stock Returns
inferredcites →https://doi.org/10.1016/j.jeconom.2006.05.023openalex-snapshot
Approximately normal tests for equal predictive accuracy in nested models
inferredcites →https://doi.org/10.1016/j.jempfin.2005.11.001openalex-snapshot
Instability of return prediction models
inferredcites →https://doi.org/10.1016/j.jempfin.2023.04.001openalex-snapshot
Cross-sectional uncertainty and expected stock 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.2005.05.008openalex-snapshot
Efficient tests of stock return predictability☆
inferredcites →https://doi.org/10.1016/j.jfineco.2016.03.004openalex-snapshot
Short interest and aggregate stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2018.10.001openalex-snapshot
Manager sentiment and stock returns
inferredcites →https://doi.org/10.1016/j.jfineco.2021.09.013openalex-snapshot
Biases in long-horizon predictive regressions
inferredcites →https://doi.org/10.1016/s0304-405x(99)00041-0openalex-snapshot
Predictive regressions
inferredcites →https://doi.org/10.1017/s0022109000003227openalex-snapshot
Predictive Regressions: A Reduced-Bias Estimation Method
inferredcites →https://doi.org/10.1017/s0022109011000135openalex-snapshot
New Methods for Inference in Long-Horizon Regressions
inferredcites →https://doi.org/10.1017/s0022109021000090openalex-snapshot
Investor Attention and Stock Returns
inferredcites →https://doi.org/10.1093/ej/ueab086openalex-snapshot
Market-Based Monetary Policy Uncertainty
inferredcites →https://doi.org/10.1093/rfs/1.3.195openalex-snapshot
The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors
inferredcites →https://doi.org/10.1093/rfs/5.3.351openalex-snapshot
Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement
inferredcites →https://doi.org/10.1093/rfs/hhj019openalex-snapshot
The Behavior of Interest Rates
inferredcites →https://doi.org/10.1093/rfs/hhl021openalex-snapshot
Stock Return Predictability: Is it There?
inferredcites →https://doi.org/10.1093/rfs/hhl042openalex-snapshot
The Myth of Long-Horizon Predictability
inferredcites →https://doi.org/10.1093/rfs/hhm014openalex-snapshot
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction
inferredcites →https://doi.org/10.1093/rfs/hhm046openalex-snapshot
The Dog That Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhm055openalex-snapshot
Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?
inferredcites →https://doi.org/10.1093/rfs/hhm074openalex-snapshot
Reconciling the Return Predictability Evidence
inferredcites →https://doi.org/10.1093/rfs/hhn056openalex-snapshot
Multiple-Predictor Regressions: Hypothesis Testing
inferredcites →https://doi.org/10.1093/rfs/hhp063openalex-snapshot
Out-of-Sample Equity Premium Prediction: Combination Forecasts and Links to the Real Economy
inferredcites →https://doi.org/10.1093/rfs/hhu080openalex-snapshot
Investor Sentiment Aligned: A Powerful Predictor of Stock Returns
inferredcites →https://doi.org/10.1093/rfs/hhu139openalex-snapshot
Robust Econometric Inference for Stock Return Predictability
inferredcites →https://doi.org/10.1093/rfs/hhv050openalex-snapshot
Policy Uncertainty and Corporate Investment
inferredcites →https://doi.org/10.1093/rfs/hhz135openalex-snapshot
Testing for Multiple-Horizon Predictability: Direct Regression Based versus Implication Based
inferredcites →https://doi.org/10.1093/rof/rfx010openalex-snapshot
Macro-Finance
inferredcites →https://doi.org/10.1111/0022-1082.00347openalex-snapshot
Consumption, Aggregate Wealth, and Expected Stock Returns
inferredcites →https://doi.org/10.1111/fima.12433openalex-snapshot
Joint dynamics of stock returns and cash flows: A time‐varying present‐value framework
inferredcites →https://doi.org/10.1111/iere.12253openalex-snapshot
MONETARY POLICY UNCERTAINTY AND ECONOMIC FLUCTUATIONS
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00885.xopenalex-snapshot
Investor Sentiment and the Cross‐Section of Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2011.01671.xopenalex-snapshot
Presidential Address: Discount Rates
inferredcites →https://doi.org/10.1111/j.1540-6261.2012.01746.xopenalex-snapshot
Uncertainty about Government Policy and Stock Prices
inferredcites →https://doi.org/10.1111/jofi.12870openalex-snapshot
Consumption Fluctuations and Expected Returns
inferredcites →https://doi.org/10.1214/aos/1176350492openalex-snapshot
Asymptotic Inference for Nearly Nonstationary AR(1) Processes
inferredcites →https://doi.org/10.1257/0002828043052240openalex-snapshot
Bad Beta, Good Beta
inferredcites →https://doi.org/10.1257/mac.20180090openalex-snapshot
Deconstructing Monetary Policy Surprises: The Role of Information Shocks
inferredcites →https://doi.org/10.1287/mnsc.2013.1838openalex-snapshot
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.2139/ssrn.1568267openalex-snapshot
Forecasting the Equity Risk Premium: The Role of Technical Indicators
inferredcites →https://doi.org/10.2139/ssrn.169791openalex-snapshot
Consumption, Aggregate Wealth and Expected Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.464843openalex-snapshot
Investor Sentiment and the Cross-Section of Stock Returns
inferredcites →https://doi.org/10.2139/ssrn.879793openalex-snapshot
The Dog that Did Not Bark: A Defense of Return Predictability
inferredcites →https://doi.org/10.2307/1913610openalex-snapshot
A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix
inferredcites →https://doi.org/10.3982/ecta11094openalex-snapshot
On Confidence Intervals for Autoregressive Roots and Predictive Regression
inferredcites →https://doi.org/10.3982/ecta7990openalex-snapshot
Testing for Smooth Structural Changes in Time Series Models via Nonparametric Regression
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