We provide a short and selected review of the vast literature on cross-section predictability. We focus on the state of … ideas, methods, and their applications. To understand the cross-section predictability, we also provide a review of factor … models, which shed light on whether the predictability is due to mispricing or risk exposure …

predict future stock market returns both in- and out-of-sample. The predictability emerges from informed bond trading and …

predictability, popular predictors from the literature fail to outperform the simple historical average benchmark forecast in out …

beliefs elicited from survey data and that VSS exhibits return predictability among individual stocks beyond a large range of …

The paper examines statistical and economic evidence of out-of-sample bond return predictability for a real … evidence using information contained in forward rates. However, such statistical predictability can hardly generate any … economic value for investors. Furthermore, we find that strong statistical and economic evidence of bond return predictability …

This paper investigates the out-of-sample predictability of monthly market as well as size, value, and momentum … avoid data mining in our predictability study, we test both statistical significance and robustness in the two samples. Our … the momentum and value premiums. It cannot be excluded that the results from the US may be caused by data mining in light …