Yan, Kejia; Gupta, Rakesh; Haddad, Sama - In: Journal of Risk and Financial Management 15 (2022) 2, pp. 1-44
This study was motivated by the poor performance of the current models used in stock return forecasting and aimed to improve the accuracy of the existing models in forecasting future stock returns. The current literature largely assumes that the residual term used in the existing model is white...