The development of asset pricing models that rely on instrumental variables together with the increased availability of easily-accessible economic time-series have renewed interest in predicting security returns. Evaluating the significance of these new research findings, however, is no easy...

Are recent asset pricing tests informative as they seem? The critiques of Roll and, more recently, of Berk are well known, though they have not been raised much in the asset pricing literature over the last 15 years. We explore this question using two sources of expected returns, realised...