This paper studies whether time series predictability is consistent with risk-based asset pricing models. Whereas earlier papers - e.g. Kirby (1998), Cecchetti, et al. (2000) and Avramov (2004) - show that returns are too predictable to be explained by rational asset pricing, we find that the...

This study examines several well-known stock market anomalies before and after they were published. If the anomalies are a result of data snooping or data crunching, these are expected to disappear in the data soon after they have been reported. Moreover, increased awareness of anomalies among...