Researchers in finance very often rely on highly persistent – nearly integrated – explanatory variables to predict returns. However, statistical inference in predictive regressions depends critically upon the stochastic properties of the posited explanatory variable, and in particular, of...

The forecasting literature has identified three important and broad issues: the predictive content of explanatory variable is most of the times unstable over time, in-sample and out-of-sample results are often discordant and precise statistical inference with highly persistent predictors is...

While traditional predictive regressions for stock returns using financial ratios are empirically proven to be valuable at long-term horizons, evidence of predictability at few-month horizons is still weak. In this paper, based on the empirical regularity of a typical dynamic of stock returns...

Sustainable investing is growing fast and investors are increasingly integrating environmental, social, and governance (ESG) criteria. However, ESG ratings are derived using heterogeneous methodologies and can be quite divergent across providers, which suggests the need for a formal statistical...