I test for stock return predictability in the largest and most comprehensive data set analyzed so far, using four common forecasting variables: the dividend-price (DP) and earnings-price (EP) ratios, the short interest rate, and the term spread. The data contain over 20,000 monthly observations...

I develop new results for long-horizon predictive regressions with overlapping observations. I show that rather than using autocorrelation robust standard errors, the standard <italic>t</italic>-statistic can simply be divided by the square root of the forecasting horizon to correct for the effects of the...