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 …

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 …

investment model succeeds in capturing average momentum profits, reversal of momentum in long horizons, as well as the … interaction of momentum with market capitalization, firm age, trading volume, and stock return volatility. However, the model … fails to reproduce procyclical momentum profits …

We examine the evidence on excess stock return predictability in a Bayesian setting in which the investor faces … uncertainty about both the existence and strength of predictability. When we apply our methods to the dividend-price ratio, we … find that even investors who are quite skeptical about the existence of predictability sharply modify their views in favor …

regressions. Returns generally display positive serial correlation and negative cross-serial correlation, leading to 'momentuem …