Vivian, Andrew; Wohar, Mark E. - In: International Review of Financial Analysis 26 (2013) C, pp. 40-50
This study examines whether the output gap leads portfolio stock returns. The paper conducts in-sample and out-of-sample forecasting of US stock portfolios formed on the basis of size and value. First, the paper finds cross-sectional portfolios are predictable in-sample by the output gap....