period of four decades and employs over 12,000 trading rules to investigate the short-term predictability of portfolio … strategies since returns on value portfolios exhibit more predictability than returns on growth portfolios and returns on … decimalization on the exchanges are the most likely reasons behind the lack of predictability. …

While the literature concerned with the predictability of stock returns is huge, surprisingly little is known when it …

This paper examines the predictability of corporate bond returns using the transaction-based index data for the period …

information into prices. We document substantial return predictability from the set of easy-to-analyze firms to their more … return predictability. In addition, we find that sell-side analysts are subject to these same information processing …

We develop a simple parametric model in which hypotheses about predictability, mispricing, and the risk-return tradeoff … predictability based on aggregate payout yield is unrelated to market risk. We consider a range of Bayesian prior beliefs about the … risk-return tradeoff and the extent to which predictability is driven by mispricing. The impact of these beliefs on an …

predictability of sentiment should be most pronounced in an expansion state when investors' optimism increases. We segregate economic …

Within a VAR based intertemporal asset allocation model we explore the effects on return predictability and optimal … bias formula instead of bootstrap or Monte Carlo bias-adjustment. Regarding return predictability we show that bias …