forecasting performance of the dynamic factor predictive regression model by comparing in-sample and out-of-sample predictability … with those of individual predictors. Findings: The article finds that the dynamic factor predictive regression exhibits … research. Originality/value: The article is the first attempt to apply the dynamic factor predictive regression model to a …

bias-adjusted estimator of the slope coefficient as well as its estimated standard error for predictive regression with … finite samples. In addition, our finite sample analysis sheds lights on the long outstanding question of whether a predictive … regression with short or long-horizon returns is more powerful in detecting return predictability. Finally, we provide a simple …

forecasting performance of the dynamic factor predictive regression model by comparing in-sample and out-of-sample predictability … with those of individual predictors. Findings: The article finds that the dynamic factor predictive regression exhibits … research. Originality/value: The article is the first attempt to apply the dynamic factor predictive regression model to a …