Improved tests for stock return predictability

DOI10.1080/07474938.2023.2222634OpenAlexW4384298133MaRDI QIDQ6082964FDOQ6082964

Authors: David I. Harvey, Stephen Leybourne, A. M. Robert Taylor 

Publication date: 7 December 2023

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474938.2023.2222634

zbMATH Keywords

endogeneitypersistencepredictive regressionweighted statisticsaugmented regression

Mathematics Subject Classification ID

Applications of statistics to economics (62P20)

Cites Work

• LAG Length Selection and the Construction of Unit Root Tests with Good Size and Power
• ON THE ASYMPTOTICS OF ADF TESTS FOR UNIT ROOTS
• Predicting the equity premium with dividend ratios
• Optimal Inference in Regression Models with Nearly Integrated Regressors
• A simple modification to improve the finite sample properties of Ng and Perron's unit root tests
• Nearly optimal tests when a nuisance parameter is present under the null hypothesis
• Instrumental variable and variable addition based inference in predictive regressions
• A control function approach for testing the usefulness of trending variables in forecast models and linear regression
• Simple tests for stock return predictability with good size and power properties
• Residual-augmented IVX predictive regression

Cited In (5)

• A closer look at return predictability of the US stock market: evidence from new panel variance ratio tests
• Stability Testing of Stock Returns Connections
• Prediction of Stock Returns: A New Way to Look at It
• Simple tests for stock return predictability with good size and power properties
• Testing for Predictability in Financial Returns Using Statistical Learning Procedures

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