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- W3121370087 abstract "Researchers have documented an abundance of evidence that stock returns are predictable ex post facto. In this study, we address the ex ante predictability of the cross section of stock returns by investigating whether a real‐time investor could have used book‐to‐market equity, firm size, and one‐year lagged returns to generate portfolio profits during the 1974–97 period. We develop variations on common recursive out‐of‐sample methods and demonstrate a marked difference between ex post and ex ante predictability, suggesting that the current notion of predictability in the literature is exaggerated." @default.
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- W3121370087 date "2005-03-01" @default.
- W3121370087 modified "2023-10-06" @default.
- W3121370087 title "On the Predictability of Stock Returns in Real Time" @default.
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- W3121370087 doi "https://doi.org/10.1086/427635" @default.
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