to adjust to market-wide news instantaneously and displays a significant amount of predictability from lagged returns on … taken into account. I suggest that the observed predictability is largely due to a lack of small cap portfolio derivatives …

tests are useful, for example, when testing for predictability of one sequence of discrete random variables by means of … serial dependencies in predictability tests. …

uncertainty as well as structural breaks in the regression parameters. Keywords: Stock return predictability, model uncertainty … evidence suggests the presence of a certain (albeit mod- est) level of predictability in stock returns. Several flnancial and … under 3% and the hit ratio peaking at 0.67. Predictability of the stock returns then deteriorates dramatically due to the …

We report results on the ex ante predictability of monthly excess stock returns in Germany using real-time and revised … data did not contribute much to ex ante stock-return predictability. 2) The performance of an investor who had to rely on …

We develop and evaluate sequential testing tools for a class of nonparametric tests for predictability of financial … retrospective context where a researcher wants to track predictability over time in a historical sample, and the monitoring context … critical values. We illustrate our methodology by testing for directional and mean predictability of returns in a dozen of …