In this paper, we provide an exact finite sample analysis of predictive regressions with overlapping long-horizon returns. This analysis allows us to evaluate the reliability of various asymptotic theories for predictive regressions in finite samples. In addition, our finite sample analysis...

Sectoral labor reallocation shocks change the optimal allocation of workers across industries. We find that a proxy for this type of labor market shocks has very strong and robust predictive power for future stock market returns. In predictive regressions, the one-year out-of-sample R2 is as...

For many multi-factor asset pricing models proposed in the recent literature, their implied tang-ency portfolios have substantially higher sample Sharpe ratios than that of the value-weighted market portfolio. In contrast, such high sample Sharpe ratio is rarely delivered by professional fund...

Using a comprehensive data set and an array of 27 macroeconomic, stock and bond predictors, we find that corporate bond returns are highly predictable based on an iterated combination model. The large set of predictors outperforms traditional predictors substantially, and predictability...

Our research on data for the S&P 500 ETF from 1993-2013 documents an intraday momentum pattern: the first half-hour return on the market (from the previous day's close) predicts the last half-hour return. The predictability, both statistically and economically significant, is stronger on more...