In a calibrated consumption-portfolio model with stock, housing, and labor income predictability, we disentangle the … welfare effects of skill and luck. Skilled investors are able to take advantage of all sources of predictability, whereas … unskilled investors ignore predictability. Lucky investors enter the market at a favorable time. For an unskilled investor the …

encompassed the predictability of excess returns for all of the bonds considered. This paper makes several contributions to the … predictability of excess returns and, in so doing, show that neither FB"s model nor CP"s model provides information about the … predictability of excess returns. Second, I show that the "predictive power" of FB"s model is due solely to the high correlation …

the predictability of these price formation processes. We approximate their predictability as the structural complexity of … logarithmic returns. This method of analysing predictability of price formation processes using information theory follows closely … the mathematical definition of predictability, and is equal to the degree to which redundancy is present in the time …