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Long-horizon regressions: theoretical results and applications. (2003). Valkanov, Rossen ; Rossen, Valkanov.
In: Journal of Financial Economics.
RePEc:eee:jfinec:v:68:y:2003:i:2:p:201-232.

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  95. Predictive regression under various degrees of persistence and robust long-horizon regression. (2013). Phillips, Peter ; Lee, Ji Hyung ; Phillips, Peter C. B., .
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  96. Low-frequency robust cointegration testing. (2013). Watson, Mark ; Muller, Ulrich K..
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  97. Forecasting Real Estate Prices. (2013). Ghysels, Eric ; Torous, Walter ; Valkanov, Rossen ; Plazzi, Alberto .
    In: Handbook of Economic Forecasting.
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  98. Forecasting Stock Returns. (2013). Rapach, David ; Zhou, Guofu.
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  99. The effects of a special program for multi-problem school dropouts on educational enrolment, employment and criminal behaviour; Evidence from a field experiment. (2013). Broer, Peter.
    In: CPB Discussion Paper.
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  100. Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. (2013). Okou, Cedric ; Jacquier, Eric .
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  101. Surplus Consumption Ratio and Expected Stock Returns.. (2013). Ghattassi, I..
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  102. Changes in the composition of publicly traded firms: Implications for the dividend-price ratio and return predictability. (2012). Jank, Stephan.
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  103. Natural Expectations, Macroeconomic Dynamics, and Asset Pricing. (2012). Laibson, David ; Fuster, Andreas ; Hebert, Benjamin.
    In: NBER Macroeconomics Annual.
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  104. Nonparametric prediction of stock returns with generated bond yields. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
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  105. Nonparametric prediction of stock returns guided by prior knowledge. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
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  106. Multifactor models and their consistency with the ICAPM. (2012). Santa-Clara, Pedro ; Maio, Paulo.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:106:y:2012:i:3:p:586-613.

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  107. Investor attention, psychological anchors, and stock return predictability. (2012). Yu, Jianfeng ; Li, Jun.
    In: Journal of Financial Economics.
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  108. Downside risk of international stock returns. (2012). Galsband, Victoria .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2379-2388.

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  109. Bond risk, bond return volatility, and the term structure of interest rates. (2012). Viceira, Luis.
    In: International Journal of Forecasting.
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  110. Do expected business conditions explain the value premium?. (2012). Fong, Wai Mun.
    In: Journal of Financial Markets.
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  111. Some curious power properties of long-horizon tests. (2012). Hjalmarsson, Erik.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:9:y:2012:i:2:p:81-91.

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  112. Testing the Masters Hypothesis in commodity futures markets. (2012). Irwin, Scott ; Sanders, Dwight R..
    In: Energy Economics.
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  113. Spurious regressions in technical trading. (2012). Yabu, Tomoyoshi ; Shintani, Mototsugu ; Nagakura, Daisuke.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:169:y:2012:i:2:p:301-309.

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  114. Sectoral Study of the Correlation Risk – Return for Romanian Companies. (2012). Anis, Cecilia Nicoleta ; CRISTEA, Horia Dumitru .
    In: Risk in Contemporary Economy.
    RePEc:ddj:fserec:y:2012:p:282-292.

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  115. First Stage Estimation of Fractional Cointegration. (2012). Iacone, Fabrizio ; Hualde, Javier.
    In: Journal of Time Series Econometrics.
    RePEc:bpj:jtsmet:v:4:y:2012:i:1:n:2.

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  116. End-of-the-year economic growth and time-varying expected returns. (2012). Møller, Stig ; Moller, Stig V. ; Rangvid, Jesper .
    In: CREATES Research Papers.
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  117. Private information of the Fed and predictability of stock returns. (2011). Tas, Bedri ; Bedri Kamil Onur Tas, .
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    RePEc:taf:applec:v:43:y:2011:i:19:p:2381-2398.

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  118. Sum of the parts stock return forecasting: international evidence. (2011). Wohar, Mark ; McMillan, David.
    In: Applied Financial Economics.
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  119. About stock markets predictability. (2011). Benjelloun, Hicham.
    In: Journal of Economics and Behavioral Studies.
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  120. A Class of Robust Tests in Augmented Predictive Regressions. (2011). Rodrigues, Paulo ; Rubia, Antonio ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, ; Paulo M. M. Rodrigues, .
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  121. Natural Expectations, Macroeconomic Dynamics, and Asset Pricing. (2011). Laibson, David ; Fuster, Andreas ; Hebert, Benjamin.
    In: NBER Working Papers.
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  122. Stock Return Predictability and Oil Prices. (2011). Casassus, Jaime ; Higuera, Freddy .
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  123. Natural Expectations, Macroeconomic Dynamics, and Asset Pricing. (2011). Laibson, David ; Fuster, Andreas ; Herbert, Benjamin .
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  124. Predicting foreign exchange movements using historic deviations from PPP. (2011). Rose, Lawrence ; Pinfold, John ; Qiu, Mei .
    In: International Review of Economics & Finance.
    RePEc:eee:reveco:v:20:y:2011:i:4:p:485-497.

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  125. Time-varying short-horizon predictability. (2011). Henkel, Sam ; Nardari, Federico ; Martin, Spencer J..
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    RePEc:eee:jfinec:v:99:y:2011:i:3:p:560-580.

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  126. Disagreement and return predictability of stock portfolios. (2011). Yu, Jialin .
    In: Journal of Financial Economics.
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  127. Forecasting stock market returns: The sum of the parts is more than the whole. (2011). Santa-Clara, Pedro ; Ferreira, Miguel.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:100:y:2011:i:3:p:514-537.

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  128. Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios. (2011). Panayotov, George ; Bakshi, Gurdip ; Skoulakis, Georgios .
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:100:y:2011:i:3:p:475-495.

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  129. Expected inflation, expected stock returns, and money illusion: What can we learn from survey expectations?. (2011). Schrimpf, Andreas ; Schmeling, Maik.
    In: European Economic Review.
    RePEc:eee:eecrev:v:55:y:2011:i:5:p:702-719.

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  130. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices. (2010). Meddahi, Nour ; Garcia, René ; Bonomo, Marco ; Tedongap, Romeo.
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  131. Regime specific predictability in predictive regressions. (2010). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
    In: Discussion Paper Series In Economics And Econometrics.
    RePEc:stn:sotoec:0916.

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  132. Inference for Noisy Long Run Component Process. (2010). Jasiak, Joann ; Gourieroux, Christian.
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  133. Regime Specific Predictability in Predictive Regressions. (2010). Pitarakis, Jean-Yves ; Gonzalo, Jesus.
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  134. Predictability of Returns and Cash Flows. (2010). Van Nieuwerburgh, Stijn ; koijen, ralph ; Ralph S. J. Koijen, .
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  135. Stock return predictability and dividend-price ratio: a nonlinear approach. (2010). Wohar, Mark ; McMillan, David G..
    In: International Journal of Finance & Economics.
    RePEc:ijf:ijfiec:v:15:y:2010:i:4:p:351-365.

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  136. Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices. (2010). Meddahi, Nour ; Garcia, René ; Bonomo, Marco ; Tedongap, Romeo.
    In: IDEI Working Papers.
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  137. Equity premium predictions with adaptive macro indexes. (2010). Bai, Jennie.
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  138. Habit formation, surplus consumption and return predictability: International evidence. (2010). Møller, Stig ; Hyde, Stuart ; Engsted, Tom ; Moller, Stig V..
    In: Journal of International Money and Finance.
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  139. A three-factor model investigation of foreign exchange-rate exposure. (2010). Beyer, Scott B. ; Huffman, Stephen P. ; Makar, Stephen D..
    In: Global Finance Journal.
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  140. The dividend-price ratio does predict dividend growth: International evidence. (2010). Pedersen, Thomas ; Engsted, Tom.
    In: Journal of Empirical Finance.
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  141. When does the dividend-price ratio predict stock returns?. (2010). Park, Cheolbeom.
    In: Journal of Empirical Finance.
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  142. Regime specific predictability in predictive regressions. (2010). Pitarakis, Jean-Yves ; Gonzalo, Jesus ; Piterakis, Jean-Ives .
    In: UC3M Working papers. Economics.
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  143. Demographic Trends, the Dividend-Price Ratio and the Predictability of Long-Run Stock Market Returns. (2010). Favero, Carlo ; Tamoni, Andrea ; Gozluklu, Arie .
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  144. Spurious Long-Horizon Regression in Econometrics. (2010). Ventosa-Santaulària, Daniel ; Noriega, Antonio ; Ventosa-Santaularia, Daniel .
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  145. What Does the Yield Curve Tell Us About Exchange Rate Predictability?. (2009). Tsang, Kwok Ping ; Chen, Yu-chin.
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  146. What Does the Yield Curve Tell Us About Exchange Rate Predictability?. (2009). Tsang, Kwok Ping ; Chen, Yu-chin.
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  147. Return Predictability and Labor Market Frictions in a Real Business Cycle Model. (2009). Lochstoer, Lars .
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  148. On the reversal of return and dividend growth predictability: A tale of two periods. (2009). Chen, Long.
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    RePEc:eee:jfinec:v:92:y:2009:i:1:p:128-151.

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  149. Common risk factors in bank stocks. (2009). Viale, Ariel ; Fraser, Donald R. ; Kolari, James W..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:3:p:464-472.

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  150. Bond risk premia and realized jump risk. (2009). Zhou, Hao ; Wright, Jonathan H..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:33:y:2009:i:12:p:2333-2345.

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  151. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

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  152. Essays on asset pricing. (2008). Koijen, R. S. J., .
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  153. Spurious Regression. (2008). Ventosa-Santaulària, Daniel ; Ventosa-Santaularia, Daniel .
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  154. Exchange Rates Predictability in Developing Countries. (2008). Sarmidi, Tamat.
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  155. The Myth of Long-Horizon Predictability. (2008). Whitelaw, Robert F..
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  156. Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole. (2008). Santa-Clara, Pedro ; Ferreira, Miguel.
    In: NBER Working Papers.
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  157. Panel cointegration tests of the Fisher effect. (2008). Westerlund, Joakim.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:23:y:2008:i:2:p:193-233.

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  158. Spurious Regressions in Technical Trading: Momentum or Contrarian?. (2008). Yabu, Tomoyoshi ; Shintani, Mototsugu ; Nagakura, Daisuke.
    In: IMES Discussion Paper Series.
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  159. Expected Inflation, Expected Stock Returns, and Money Illusion: What can we learn from Survey Expectations?. (2008). Schrimpf, Andreas ; Schmeling, Maik.
    In: SFB 649 Discussion Papers.
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  160. Jackknifing stock return predictions. (2008). Hjalmarsson, Erik ; Chiquoine, Benjamin .
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  161. Interpreting long-horizon estimates in predictive regressions. (2008). Hjalmarsson, Erik.
    In: International Finance Discussion Papers.
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  162. Inference in Long-Horizon Regressions. (2008). Hjalmarsson, Erik.
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  163. Cross-border listings, capital controls, and equity flows to emerging markets. (2008). Warnock, Francis ; Edison, Hali.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:27:y:2008:i:6:p:1013-1027.

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  164. Does firm value move too much to be justified by subsequent changes in cash flow. (2008). Yogo, Motohiro ; Larrain, Borja.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:200-226.

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  165. Is the value spread a useful predictor of returns?. (2008). Zhang, Lu ; Liu, Naiping.
    In: Journal of Financial Markets.
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  166. Interpreting long-horizon estimates in predictive regressions. (2008). Hjalmarsson, Erik.
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  167. On the predictive power of the surplus consumption ratio. (2008). Ghattassi, Imen .
    In: Finance Research Letters.
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  168. Short-term predictability of crude oil markets: A detrended fluctuation analysis approach. (2008). Rodriguez, Eduardo ; Alvarez-Ramirez, Jose .
    In: Energy Economics.
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  169. Investor sentiment in the US-dollar: Longer-term, non-linear orientation on PPP. (2008). Menkhoff, Lukas ; Rebitzky, Rafael R..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:3:p:455-467.

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  170. Long-run risk-return trade-offs. (2008). Perron, Benoit ; Bandi, Federico M..
    In: Journal of Econometrics.
    RePEc:eee:econom:v:143:y:2008:i:2:p:349-374.

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  171. Asset Pricing Models with Conditional Betas and Alphas: The Effects of Data Snooping and Spurious Regression. (2008). Simin, Timothy ; Sarkissian, Sergei ; Ferson, Wayne E..
    In: Journal of Financial and Quantitative Analysis.
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  172. Long-Run Risk through Consumption Smoothing. (2007). Kaltenbrunner, Georg ; Lochstoer, Lars .
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  173. Changes in Predictive Ability with Mixed Frequency Data. (2007). Galvão, Ana.
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  174. Changes in Predictive Ability with Mixed Frequency Data. (2007). Galvão, Ana ; Galvo, Ana Beatriz.
    In: Working Papers.
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  175. Covariance-based orthogonality tests for regressors with unknown persistence. (2007). Shimotsu, Katsumi ; Maynard, Alex.
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  176. Risk, Return and Dividends. (2007). LIU, JUN ; Ang, Andrew.
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  177. Investor sentiment in the US-dollar: longer-term, nonlinear orientation on PPP. (2007). Menkhoff, Lukas ; Rebitzky, Rafael.
    In: Hannover Economic Papers (HEP).
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  178. Risk, return, and dividends. (2007). LIU, JUN ; Ang, Andrew.
    In: Journal of Financial Economics.
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  179. Do industries lead stock markets?. (2007). Valkanov, Rossen ; Hong, Harrison ; Torous, Walter .
    In: Journal of Financial Economics.
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  180. Institutional and individual sentiment: Smart money and noise trader risk?. (2007). Schmeling, Maik.
    In: International Journal of Forecasting.
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  181. Expectations hypotheses tests at Long Horizons. (2007). Rossi, Barbara.
    In: Econometrics Journal.
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  182. Valuation in US Commercial Real Estate. (2007). Valkanov, Rossen ; Plazzi, Alberto ; Ghysels, Eric.
    In: European Financial Management.
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  183. Expected Stock Returns and Variance Risk Premia. (2007). Zhou, Hao ; Bollerslev, Tim.
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  184. A Comprehensive Look at the Empirical Performance of Equity Premium Prediction. (2006). welch, ivo ; Goyal, Amit.
    In: Yale School of Management Working Papers.
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  185. Panel cointegration tests of the Fisher effect. (2006). , Joakimwesterlund ; Westerlund, Joakim.
    In: Research Memorandum.
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  186. Irish stock returns and inflation: a long span perspective. (2006). Ryan, Geraldine .
    In: Applied Financial Economics.
    RePEc:taf:apfiec:v:16:y:2006:i:9:p:699-706.

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  187. Long-Horizon Mean Reversion for the Brussels Stock Exchange: Evidence for the 19th Century. (2006). ANNAERT, J. ; VAN HYFTE, W..
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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  188. Reconciling the Return Predictability Evidence. (2006). Van Nieuwerburgh, Stijn ; Lettau, Martin.
    In: 2006 Meeting Papers.
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  189. Cross-border Listings, Capital Controls, and Equity Flows To Emerging Markets. (2006). Warnock, Francis ; Edison, Hali.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12589.

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  190. Reconciling the Return Predictability Evidence. (2006). Van Nieuwerburgh, Stijn ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12109.

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  191. The Dog That Did Not Bark: A Defense of Return Predictability. (2006). Cochrane, John.
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  192. Non-linear long horizon returns predictability: evidence from six south-east Asian markets. (2006). .
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  193. Fundamentals Efficiency of the Italian Stock Market: Some Long Run Evidence. (2006). Alesii, Giuseppe.
    In: International Journal of Business and Economics.
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  194. Efficient tests of stock return predictability. (2006). Yogo, Motohiro ; Campbell, John.
    In: Scholarly Articles.
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  195. Institutional and Individual Sentiment: Smart Money and Noise Trader Risk. (2006). Schmeling, Maik.
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