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- W3123347178 abstract "Return predictability in the U.S. stock market is local in time as short periods with significant predictability (`pockets') are interspersed with long periods with little or no evidence of return predictability. We document this empirically using a flexible non-parametric approach and explore possible explanations of this finding, including time-varying risk premia. We find that short-lived predictability pockets are inconsistent with a broad class of affine asset pricing models. Conversely, pockets of return predictability are more in line with a model with investors' incomplete learning about a highly persistent growth component in the underlying cash flow process which undergoes occasional regime shifts." @default.
- W3123347178 created "2021-02-01" @default.
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- W3123347178 date "2023-03-29" @default.
- W3123347178 modified "2023-10-18" @default.
- W3123347178 title "Pockets of Predictability" @default.
- W3123347178 doi "https://doi.org/10.37214/jofdata.13" @default.
- W3123347178 hasPublicationYear "2023" @default.
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