Improved tests for stock return predictability

DOI10.1080/07474938.2023.2222634MaRDI QIDQ6082964zbMATH OpenOpenAlexFDO

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

Publication date 7 December 2023

Published in Econometric Reviews (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

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

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

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
• Simple tests for stock return predictability with good size and power properties
• Prediction of Stock Returns: A New Way to Look at It
• Testing for Predictability in Financial Returns Using Statistical Learning Procedures

This page was built for publication: Improved tests for stock return predictability

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6082964)