The few panel data tests for predictability of returns that exist are based on the prerequisite that both the number of … for predictability in panels where T ≥ 2 but N is large, which seems like a much more realistic assumption when using firm …

misspecified submodels of stock returns: one with IID returns and the other with predictability. We adopt a generalized recursive … than under the predictability model. Adopting suboptimal investment strategies by ignoring model uncertainty can lead to …