Stock Return Predictability: Is it There?

By Geert Bekaert, Andrew Ang. 2001

1,634 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Strategy and Management

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Allan G. Timmermann
2. Guofu Zhou
3. Geert Bekaert
4. Tim Bollerslev
5. Andrew Ang
6. Stijn Van Nieuwerburgh
7. David E. Rapach
8. V. Todorov

In Finance

1. Guofu Zhou
2. Allan G. Timmermann
3. Geert Bekaert
4. Turan G. Bali
5. Bryan T. Kelly
6. Tim Bollerslev
7. Lu Zhang
8. Stijn Van Nieuwerburgh

In Strategy and Management

1. Lu Zhang
2. Yuhang Xing
3. Guofu Zhou
4. Pietro Veronesi
5. Tano Santos
6. Kewei Hou
7. Stijn Van Nieuwerburgh
8. Gurdip Bakshi

Citations in the corpus

• Predicting Returns with Financial Ratios (2004, neutral): “See, for example, Hodrick (1992), Goetzmann and Jorion (1993), Nelson and Kim (1993), and Ang and Bekaert (2002). J. Lewellen / Journal of Financial Economics 74 (2004) 209–235 210”
• How do household portfolio shares vary with age? Unpub-lished working paper (2000, background): “However, evidence on predictability has been challenged, particularly in the more recent period (see Ang and Bekaert (2004) and Goyal and Welch (2004)).”
• Investor sentiment and stock returns: Some international evidence (2009, background): “Griffin, Ji, Martin (2003) or Ang et al. (2008) on the importance of testing market anomalies out-of-sample) and pooling data across countries increases the power of tests which yields more reliable estimates (see e.”
• The Cross-Section and Time-Series of Stock and Bond Returns (2017, neutral): “Ang and Bekaert (2007) find some predictability of nominal short rates for future aggregate stock returns.”
• The Myth of Long-Horizon Predictability (2005, neutral): “Aside from these three methodology-based lines of criticism of the stock return predictability literature, there is scant evidence of empirical-based critique of long horizon predictability, one recent exception being Ang and Bekaert (2005). Our paper focuses on a”
• Disasters Risk and Business Cycles (2012, neutral): “Assume, then, that the utility Vt satis…es the recursion: Vt = (1 )C(1) t + Et V 1 t+1 1 1 1 1 ; (1) where measures risk aversion towards static gambles, is the inverse of the intertemporal elasticity of substitution (IES) and re‡ects time preference.”
• Expected Returns in Treasury Bonds (2015, neutral): “)” below, are more conservative and therefore preferred over Hansen-Hodrick or Newey-West errors, both of which have been shown to overreject the null hypothesis of no predictability in small samples (Ang and Bekaert, 2007).”