Asset Pricing : Cross-section Predictability

We provide a short and selected review of the vast literature on cross-section predictability. We focus on the state of art methods used to forecast the cross-section of stock returns with major predictors and are primarily interested in the ideas, methods, and their applications. To understand the cross-section predictability, we also provide a review of factor models, which shed light on whether the predictability is due to mispricing or risk exposure

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Year of publication:	[2022]
Authors:	Zaffaroni, Paolo ; Zhou, Guofu
Publisher:	[S.l.] : SSRN
Subject:	CAPM \| Prognoseverfahren \| Forecasting model \| Börsenkurs \| Share price \| Theorie \| Theory \| Kapitaleinkommen \| Capital income

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