-varying dividend growth predictability. Long-horizon predictability is also examined with evidence reported that the nature of the … factors affecting time-varying predictability changes with horizon. The results here, while directly contributing to the … returns predictability debate, in particular regarding its existence and source, may also inform the discussion that links …

This paper studies the out-of-sample predictability of the monthly market as well as size, value, and momentum premiums … mining in our predictability study, we test both statistical significance and robustness in the two samples. Our key results … are as follows: We find no robust indication that the market premium is predictable. The same is true for the momentum and …

Stock market predictability is of considerable interest in both academic research and investment practice. Ross (2005 …

that underlies predictability to hold, firm-level predictability should also be present. In addition, we examine the … economic content of predictability by considering whether the predictive coefficient has the theoretically correct sign and …

-Lam-Mark models - cannot explain the own-history predictability properties of stock market returns. We show this by estimating these … expected returns is a martingale difference sequence, which it is not. Furthermore, a semi-parametric test suggests that lagged …