This paper uses statistical model selection criteria and Avramov’s (2002)Bayesian model averaging approach to analyze the sample evidence onstock market predictability in the presence of model uncertainty. Basedon Swiss stock market data, our posterior analysis finds that neither thecumulative...

This paper examines how the evidence of stock market predictability affectsoptimal portfolio choice for buy-and-hold and dynamic investors withdifferent planning horizons. As in Barberis (2000), particular attention ispaid to estimation risk, i.e., uncertainty about the true values of the...

This paper aims to survey selected recent papers presenting new evidenceon an age-old question in financial economics: Are stock market returnspredictable?. The hypothesis that equity returns are predictable (specificallyat long horizons) has been called a new fact in finance by Cochrane(1999)....

This paper aims to survey selected recent papers presenting new evidenceon an age-old question in financial economics: “Are stock market returnspredictable?”. The hypothesis that equity returns are predictable (specificallyat long horizons) has been called a “new fact in finance” by...

Current discussions about public and private pension plans often include a statement that thestock market is less risky in the long run than in the short run. Pension plans with their ratherlong planning horizon are therefore asked to increase their allocation to the stock market.These...

Current discussions about public and private pension plans often state that the stock market is less risky in the long run than in the short run. Pension plans with their rather long planning horizon are therefore asked to increase the allocation to the stock market. Such statements, however,...

This study investigates the effects of short-lived rent control regulations introduced in Catalonia in September 2020 and revoked in March 2022. Using the microdata of the largest Spanish housing advertisement portal idealista between January 2017 and May 2022, we analyze the dynamics of prices...

This paper analyzes the persistence or serial correlation of expected returns as well as the univariate time-series approach that studies the implied autocorrelation function of realized stock returns, including mean reversion and its conditions. In particular, we critically examine whether...