We relate the predictability of future returns from past returns to the market's underreaction to information, focusing … momentum. Market risk, size and book-to- market effects do not explain the drifts. Security analysts' earnings forecasts also …

observable economic variables, and show that these levels of predictability are statistically significant, even after controlling … for data-snooping biases. We disaggregate the sources for predictability by using several asset groups, including industry …-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return …

This paper studies the predictability of ultra high-frequency stock returns and durations to relevant price, volume and … predictability is rare and inconsistent, predictability in high frequency returns and durations is large, systematic and pervasive … determines the variation in predictability across different stock's own characteristics and market environments. Next, we compute …

degree of predictability rises with the length of the horizon over which return is measured. This paper investigates the …

economic benefits of predicting individual stock volume are as large as those from stock return predictability …

Much recent work has documented evidence for predictability of asset returns. We show how such predictability can … predictability of stock returns greatly increases the optimal demand for stocks. The role of nominal bonds in long-term portfolios …