Guo, Hui (contributor); Savickas, Robert (contributor) - 2006 - Rev.
studies, the out-of-sample test based on the linear specification has low
power to detect stock return predictability …. Moreover, some recent studies, e.g., Lewellen (2004),
Campbell and Thompson (2005), and Lettau and Nieuwerburgh (2006), have … studies have poor out-of-sample forecasting power
possibly because they are not direct measures of the conditional equity …