- Aharony, J., & Swary, I., (1980). Quarterly dividend and earnings announcements and stockholders’ returns: An empirical analysis. Journal of Finance 35(1), 1-12.
Paper not yet in RePEc: Add citation now
Bansal, R., Tauchen, G., & Zhou, H. (2004). Regime-shifts, risk premiums in the term structure, and the business cycle. Journal of Business & Economic Statistics, 22(4), 396-409.
Barberis, N., (2000). Investing for the long run when returns are predictable. Journal of Finance, 55(1), 225-64.
Berkowitz, J., & Giorgianni, L. (2001). Long-horizon exchange rate predictability? Review of Economics & Statistics, 83(1), 81-91.
Boucher, C. (2007). Asymmetric adjustment of stock prices to their fundamental value and the predictability of US stock returns. Economics Letters, 95(3), 339-347.
- Boudoukh, J., Israel, R. & Richardson, M. (2018). Long-horizon predictability: A cautionary tale.
Paper not yet in RePEc: Add citation now
Boudoukh, J., Richardson, M., & Whitelaw, R.F. (2008). The myth of long-horizon predictability. Review of Financial Studies, 21(4), 1-14.
Breitung, J., & Candelon, B. (2006). Testing for short- and long-run causality: A frequency-domain approach. Journal of Econometrics, 132(2), 363-378.
Breitung, J., & Schreiber, S. (2018). Assessing Causality and Delay within a Frequency Band. Econometrics & Statistics, 6, 57-73.
Campbell, J.Y., & Hamao, Y. (1992). Predictable stock returns in the U.S.A. and Japan: a study of long-term capital market integration. Journal of Finance, 47(1), 43-69.
Campbell, J.Y., & Shiller R.J. (1988). Stock prices, earnings, and expected dividends. Journal of Finance, 43(3), 661-676.
- Campbell, J.Y., & Shiller R.J. (1998). Valuation ratios and the long-run stock market outlook. Journal of Portfolio Management, 24(2), 11-26.
Paper not yet in RePEc: Add citation now
- Campbell, J.Y., Lo, A.W., & MacKinlay, C.A., (1997). The Econometrics of Financial Markets. Princeton, NJ: Princeton University Press.
Paper not yet in RePEc: Add citation now
Charles, A., Darné, O., & Kim, J.H. (2017). International stock return predictability: Evidence from new statistical tests. International Review of Financial Analysis, 54, 97-113.
Chen, L. (2009). On the reversal of return and dividend growth predictability: A tale of two periods. Journal of Financial Economics, 92(1), 128-151.
Cochrane, J.H. (1999). New facts in finance. Economic Perspectives: Federal Reserve Bank of Chicago, 23(3), 36-58.
Cochrane, J.H., (2001). Asset Pricing. Princeton, NJ: Princeton University Davidson, J., & Monticini, A. (2010). Tests for cointegration with structural breaks based on subsamples. Computational Statistics & Data Analysis, 54(11), 2498-2511.
Dergiades, T., Milas C. & Panagiotidis T. (2020). A mixed frequency approach for stock returns and valuation ratios, Economics Letters, 187, 08861.
Devpura, N., Narayan, P.K., & Sharma, S.S. (2018). Is stock return predictability time-varying? Journal of International Financial Markets, Institutions & Money, 52, 152-172.
Fama, E.F., & French, K.R. (1988). Dividend yields and expected stock returns. Journal of Financial Economics, 22(1), 3-25.
- Geweke, J. (1982). Measurement of linear dependence and feedback between multiple time series. Journal of the American Statistical Association, 77(378), 304-313.
Paper not yet in RePEc: Add citation now
Gopalan, R., & Jayaraman, S., (2012). Private control benefits and earnings management: Evidence from insider-controlled firms. Journal of Accounting Research 50(1), 117-157.
Granger, C.W.J. (1969). Investigating causal relations by econometric models and cross-spectral methods. Econometrica, 37(3), 424-438.
Henkel, S.J., Martin, S.J., & Nadari, F. (2011). Time-varying short-horizon predictability. Journal of Financial Economics, 99(3), 560-580.
- Hosoya, Y. (1991). The decomposition and measurement of the interdependence between secondorder stationary process. Probability Theory & Related Fields, 88(4), 429-444.
Paper not yet in RePEc: Add citation now
Kilian, L, & Taylor, M.P. (2003). Why is it so difficult to beat the random walk forecast of exchange rates? Journal of International Economics, 60(1), 85-107.
Kilian, L. (1999). Exchange rates and monetary fundamentals: What do we learn from longhorizon regressions? Journal of Applied Econometrics, 14(5), 491-510.
Kim, C.J., Morley, J.C., & Nelson, C.R. (2005). The structural break in the equity premium. Journal of Business & Economic Statistics, 23(2), 181-191.
Lemmens, A., Croux, C., & Dekimpe, M.G. (2008). Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys. International Journal of Forecasting, 24(3), 414-431.
Lettau, M., & Nieuwerburgh, S.V. (2008). Reconciling the return predictability evidence. Review of Financial Studies, 21(4), 1607-1652.
Merton, R., (1973). An intertemporal capital asset pricing model. Econometrica, 41(5), 867-887.
Narayan, P., & Sharma, S. (2015). Does data frequency matter for the impact of forward premium on spot exchange rate? International Review of Financial Analysis, 39, 45-53.
Newey, W.K., & West, K.D. (1987). A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica, 55(3), 703-708.
Rapach, D.E., & Wohar, M.E. (2005). Valuation ratios and long-horizon stock price predictability. Journal of Applied Econometrics, 20(3), 327-344.
Rapach, D.E., & Wohar, M.E. (2006). In-sample vs. out-of-sample tests of stock return predictability in the context of data-mining. Journal of Empirical Finance, 13(2), 231-247.
Rapach, D.E., Strauss, J.K., & Zhou, G. (2010). Out-of-sample equity premium prediction: Combination forecasts and links to the real economy. Review of Financial Studies, 23(2), 821862.
Rapach, D.E., Zhou, G. 2013. Forecasting stock returns, in: Elliot, G., Timmermann, A. (Eds.), Handbook of Economic Forecasting, vol. 2. Elsevier, Amsterdam, 329-383.
- Robinson, P.M. (1994). Semiparametric analysis of long-memory time series. Annals of Statistics, 22(1), 515-539.
Paper not yet in RePEc: Add citation now
Rossi, B., & Inoue, A. (2012). Out-of-sample forecast tests robust to the choice of window size. Journal of Business & Economic Statistics, 30(3), 432-453.
Samuelson, P., (1969). Lifetime portfolio selection by dynamic stochastic programming. Review of Economics and Statistics, 51(3), 239-246.
- Shiller, R.J., 2005. Irrational exuberance. New Jersey: Princeton University Press.
Paper not yet in RePEc: Add citation now
Sizova, N. (2014). A frequency-domain alternative to long-horizon regressions with application to return predictability. Journal of Empirical Finance, 28, 261-272.
Stambaugh, R.F. (1999). Predictive regressions. Journal of Financial Economics, 54(3), 375-421.
Valkanov, R. (2003). Long-Horizon Regressions: Theoretical Results and Applications. Journal of Financial Economics, 68(2), 201-232.
Welch, I., & Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies, 21(4), 1455-1508.
Wen, Y.-C., Lin, P.T., Li, B., & Roca, E. (2015). Stock return predictability in South Africa: The role of major developed markets. Finance Research Letters, 15, 257-265.
- Whittle, P. (1962). Gaussian estimation in stationary time series. Bulletin of the International Statistical Institute, 39, 105-129.
Paper not yet in RePEc: Add citation now
Yin, A. (2019). Out-of-sample equity premium prediction in the presence of structural breaks. International Review of Financial Analysis, 65, 101385.