We develop an exact and distribution-free procedure to test for quantile predictability at several quantile levels jointly, while allowing for an endogenous predictive regressor with any degree of persistence. The approach proceeds by combining together the quantile regression t-statistics from...

Researchers typically employ cross-sectional regression methods to identify firm-level characteristics that help to explain the cross-section of average stock returns. I develop a straightforward approach for testing whether the coefficient estimates produced by these methods satisfy the pricing...

The Nelson-Siegel model is widely used in practice for fitting the term structure of interest rates. Due to the ease in linearizing the model, a grid search or an OLS approach using a fixed shape parameter are popular estimation procedures. The estimated parameters, however, have been reported...

This paper investigates, both in finite samples and asymptotically, statistical inference on predictive regressions where time series are generated by present value models of asset prices. We show that regression-based tests, including optimal robust tests such as Jasson and Moreira's...

The nonparametric estimation method is employed to evaluate empirically the relationship between the performance of a sample of 164 U.S. mutual fund and some of their characteristics such as expense ratio, turnover, systematic risk, fund size, and market capitalization. The empirical results...

The standard test for the pricing role of aggregate idiosyncratic risk in the conventional predictive regression considers aggregate total idiosyncratic risk a reasonable proxy for its undiversified component, which should be priced as theory suggests. However, when the priced component is...