Reconciling the Return Predictability Evidence In-Sample Forecasts, Out-of-Sample Forecasts, and Parameter Instability

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Asset pricing tests with long run risks in consumption growth (2011, unknown): “[31] Lettau, M.”
Predicting market returns using aggregate implied cost of capital (2013, unknown): “…(1999), Goyal and Welch (2003), Lewellen (2004), Ang and Bekaert (2007), Boudoukh, Michaely, Richardson, and Roberts (2007), Boudoukh, Richardson, and Whitelaw (2008), Cochrane (2008), Lettau and Nieuwerburgh (2008), Rytchkov (2008), Brennan and Taylor (2010), and Kelly and Pruitt (2011).”
Does the choice of estimator matter when forecasting returns (2012, background): “Our choice of considering subperiods is motivated by the previous literature arguing that out-of-sample predictability may be driven in part by the choice of the sample period (see for example Rozeff, 1984; Fama and French, 1988; Lettau and Nieuwerburgh, 2008; Boudoukh et al., 2008).”
Parameter Learning in General Equilibrium: The Asset Pricing Implications (2016, unknown): “[33] Lettau, M.”