. The portfolio strategies in each hedge fund style are formed by incorporating predictability in: (i) managerial skills … account the effect of liquidity risk, long-only constrained hedge fund style portfolios that incorporate predictability in …

identifying a subset on the set of conceivable outcomes. This notion of predictability serves as an organizing principle for …

predictability tests that account for the key features of the data, namely, persistency, endogeneity, and heteroskedasticity. Our … analysis considers a large number of countries, shows evidence of more out-of-sample predictability with nominal than real oil … prices, finds in-sample predictability to be independent of the use of nominal and real prices, and reveals greater evidence …

Most studies of the predictability of returns are based on time series data, and whenever panel data are used, the … homogeneity assumptions that might not be true. As a response to this, the current paper proposes new predictability tests in the … context of a random coefficient panel data model, in which the null of no predictability corresponds to the joint restriction …

predictability varies with sector. Our results are robust to a range of trading strategies. …