predictability is found. These findings provide two implications. First, the hedging-pressure theory can be supported in oil futures …

findings (using GMM) indicate that the APT model can be used as a rationale for the predictability of asset returns using local …

Using a wavelet-based maximum likelihood fractional integration estimator, we test long memory (return predictability … explaining stock return predictability using a logistic regression model reveal that returns of large firms are more likely to … predictability. However, degree of long-range dependence appears to be associated positively with earnings per share, systematic risk …

The aim of this paper is to investigate the stock returns predictability in a multi-variate context. Johansen …-country predictability, i.e. the forecast of future returns on one market can be improved by including past returns from other markets. …

The relative predictability of returns and dividends is a central issue because it forms the paradigm to interpret … predictability. We show that even if dividends are supposed to be predictable without smoothing, dividend smoothing can bury this … predictability. Because aggregate dividends are dramatically more smoothed in the postwar period than before, the lack of dividend …

tend to wait longer the higher the predictability, independently of the composition of executive’s asset menu. We have also …

predictability. Our findings suggest that the role of statements in predicting the next policy move has strengthened following the …