limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these … linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

limiting behaviour of the statistic under a multivariate fads model and under a moderately explosive bubble process: these … linear predictability in the most recent period, for small and medium cap stocks. The main findings are not substantially …

We propose an alternative Ratio Statistic for measuring predictability of stock prices. Our statistic is based on … actual returns rather than logarithmic returns and is therefore better suited to capturing price predictability. It captures … multiperiod portfolio gross returns. We apply our methodology to test the gross return predictability of various financial series. …

substantially improve both the statistical and economic out-of-sample performance of multivariate models for return predictability …

We build an equilibrium model to explain why stock return predictability concentrates in bad times. The key feature is …-series momentum, which strengthens in bad times, increases with disagreement, and crashes after sharp market rebounds. We provide …

reviews the theory and literature on market efficiency and market anomalies. We give a brief review on market efficiency and …. This review is useful to academics for developing cutting-edge treatments of financial theory that EMH, anomalies, and …