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2. Effects of Monetary Policy on the REIT Returns - Evidence from the United Kingdom. (2014). Ben Maatoug, A. ; Chawechi, S. ; Fatnassi, I..
   In: Working Papers.
   RePEc:ipg:wpaper:2014-063.

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3. Stock Market Predictability: Global Evidence and an Explanation. (2014). Park, Cheolbeom ; Shin, Dong-hun .
   In: Discussion Paper Series.
   RePEc:iek:wpaper:1405.

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4. Bias-Correction in Vector Autoregressive Models: A Simulation Study. (2014). Pedersen, Thomas ; Engsted, Tom.
   In: Econometrics.
   RePEc:gam:jecnmx:v:2:y:2014:i:1:p:45-71:d:34027.

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5. Testing predictive regression models with nonstationary regressors. (2014). CAI, ZONGWU ; Wang, Yunfei .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:178:y:2014:i:p1:p:4-14.

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6. Sequential Learning, Predictability, and Optimal Portfolio Returns. (2014). Korteweg, Arthur ; Polson, Nicholas ; Johannes, Michael .
   In: Journal of Finance.
   RePEc:bla:jfinan:v:69:y:2014:i:2:p:611-644.

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7. Predictive regressions for macroeconomic data. (2014). CAI, ZONGWU ; Zhu, Fukang ; Peng, Liang.
   In: Papers.
   RePEc:arx:papers:1404.7642.

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8. Waves in Ship Prices and Investment. (2013). Hanson, Samuel ; Greenwood, Robin.
   In: NBER Working Papers.
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9. Predictive regression under various degrees of persistence and robust long-horizon regression. (2013). Phillips, Peter ; Lee, Ji Hyung ; Phillips, Peter C. B., .
   In: Journal of Econometrics.
   RePEc:eee:econom:v:177:y:2013:i:2:p:250-264.

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10. Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences. (2013). lioui, abraham.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:37:y:2013:i:5:p:1066-1096.

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11. Nonparametric prediction of stock returns guided by prior knowledge. (2012). Sperlich, Stefan ; Nielsen, Jens Perch ; Scholz, Michael.
    In: Graz Economics Papers.
    RePEc:grz:wpaper:2012-02.

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12. Do expected business conditions explain the value premium?. (2012). Fong, Wai Mun.
    In: Journal of Financial Markets.
    RePEc:eee:finmar:v:15:y:2012:i:2:p:181-206.

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13. Return predictability and intertemporal asset allocation: Evidence from a bias-adjusted VAR model. (2012). Pedersen, Thomas ; Engsted, Tom.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:19:y:2012:i:2:p:241-253.

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14. End-of-the-year economic growth and time-varying expected returns. (2012). Møller, Stig ; Moller, Stig V. ; Rangvid, Jesper .
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15. Asset Priving and Ambiguity: Empirical Evidence. (2011). Brenner, Menachem ; Izhakian, Yehuda.
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16. 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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17. Unbiased estimate of dynamic term structure models. (2011). Wu, Jing Cynthia ; Rudebusch, Glenn ; Bauer, Michael ; GlennD. Rudebusch, .
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18. The volatility of consumption-based stochastic discount factors and economic cycles. (2011). Nieto, Belen ; Rubio, Gonzalo.
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19. Fixed-income fund performance: Role of luck and ability in tail membership. (2011). Kryzanowski, Lawrence ; Ayadi, Mohamed A..
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20. A control function approach for testing the usefulness of trending variables in forecast models and linear regression. (2011). Elliott, Graham.
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21. Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities. (2011). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
    In: Journal of Econometrics.
    RePEc:eee:econom:v:160:y:2011:i:1:p:235-245.

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22. The nonlinear effects of expected and unexpected components of monetary policy on the dynamics of REIT returns. (2011). Chang, Kuang-Liang.
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    RePEc:eee:ecmode:v:28:y:2011:i:3:p:911-920.

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23. What Does Stock Ownership Breadth Measure?. (2010). Yan, Hongjun ; Choi, James.
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24. Characteristic Timing. (2010). Hanson, Samuel ; Greenwood, Robin.
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25. Issuer Quality and Corporate Bond Returns. (2010). Hanson, Samuel ; Greenwood, Robin.
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26. International stock return predictability under model uncertainty. (2010). Schrimpf, Andreas.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:29:y:2010:i:7:p:1256-1282.

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27. 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.
    RePEc:eee:jimfin:v:29:y:2010:i:7:p:1237-1255.

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28. Predictive regression with order-p autoregressive predictors. (2010). Hurvich, Clifford ; Amihud, Yakov ; Wang, YI.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:3:p:513-525.

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29. When does the dividend-price ratio predict stock returns?. (2010). Park, Cheolbeom.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:1:p:81-101.

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30. Jackknifing stock return predictions. (2009). Hjalmarsson, Erik ; Chiquoine, Benjamin .
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:793-803.

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

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32. Predictable returns and asset allocation: Should a skeptical investor time the market?. (2009). Wachter, Jessica ; Warusawitharana, Missaka.
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    RePEc:eee:econom:v:148:y:2009:i:2:p:162-178.

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33. International Stock Return Predictability Under Model Uncertainty. (2008). Schrimpf, Andreas.
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34. Catering Through Nominal Share Prices. (2008). Wurgler, Jeffrey ; Baker, Malcolm ; Greenwood, Robin.
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35. Jackknifing stock return predictions. (2008). Hjalmarsson, Erik ; Chiquoine, Benjamin .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:932.

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36. The intertemporal relation between expected returns and risk. (2008). Bali, Turan G..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:87:y:2008:i:1:p:101-131.

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37. Liquidity and conditional portfolio choice: A nonparametric investigation. (2008). Ghysels, Eric ; Pereira, Joo Pedro.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:15:y:2008:i:4:p:679-699.

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38. Forecasting aggregate stock returns using the number of initial public offerings as a predictor. (2008). Kolev, Gueorgui I..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2008:i:13:p:1-8.

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39. Forecasting aggregate stock returns using the number of initial public offerings as a predictor. (2008). Kolev, Gueorgui I..
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    RePEc:ebl:ecbull:eb-08g10009.

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40. 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.
    RePEc:cup:jfinqa:v:43:y:2008:i:02:p:331-353_00.

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41. Return Predictability under Equilibrium Constraints on the Equity Premium. (2008). Timmermann, Allan ; Pettenuzzo, Davide ; Valkanov, Rossen I..
    In: Working Papers.
    RePEc:brd:wpaper:37.

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42. Measuring time-varying economic fears with consumption-based stochastic discount factors. (2007). Nieto, Belen ; Rubio, Gonzalo.
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43. Covariance-based orthogonality tests for regressors with unknown persistence. (2007). Shimotsu, Katsumi ; Maynard, Alex.
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44. Institutional and individual sentiment: Smart money and noise trader risk?. (2007). Schmeling, Maik.
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    RePEc:eee:intfor:v:23:y:2007:i:1:p:127-145.

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45. Dynamic Estimation of Volatility Risk Premia and Investor Risk Aversion from Option-Implied and Realized Volatilities. (2007). Zhou, Hao ; Bollerslev, Tim ; Gibson, Michael .
    In: CREATES Research Papers.
    RePEc:aah:create:2007-16.

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46. The Consumption/Wealth and Book/Market Ratios in a Dynamic Asset Pricing Contex. (2006). Rodriguez, Rosa ; Nieto, Belen.
    In: Spanish Economic Review.
    RePEc:spr:specre:v:8:y:2006:i:3:p:199-226.

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47. Reconciling the Return Predictability Evidence. (2006). Van Nieuwerburgh, Stijn ; Lettau, Martin.
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48. World markets for raising new capital. (2006). Weisbach, Michael ; Henderson, Brian J. ; Jegadeesh, Narasimhan.
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49. Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market. (2005). Rey, David.
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    RePEc:kap:fmktpm:v:19:y:2005:i:3:p:239-260.

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50. Pseudo Market Timing and Predictive Regressions. (2004). Wurgler, Jeffrey ; Baker, Malcolm ; Taliaferro, Ryan.
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    RePEc:nbr:nberwo:10823.

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