1. Out-of-sample equity premium predictability and sample split–invariant inference. (2017). Karapandza, Rasa ; Kolev, Gueorgui I.
   In: Journal of Banking & Finance.
   RePEc:eee:jbfina:v:84:y:2017:i:c:p:188-201.

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1. Amihud, Yakov and Clifford Hurvich, 2004. Predictive Regressions: A Reduced-Bias Estimation Method, Journal of Financial and Quantitative Analysis, 39, pages 813-841.

2. Baker, Malcolm and Jeffrey Wurgler, 2000.The Equity Share in New Issues and Aggregate Stock Returns, Journal of Finance, vol. 55(5), pages 22 19-2257, mean of smb from the years that overlap with available data on number of IPOs is 100.2 1%, and the standard deviation is 3.15%. October.

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6. Campbell, John Y. and Samuel B. Thompson, 2006. Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?, version dated November 10, 2006.
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7. Clark, Todd E. and Kenneth D. West, 2007. Approximately normal tests for equal predictive accuracy in nested models, Journal of Econometrics, Elsevier, vol. 127(1), pages 291-311, May.

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10. Mankiw, Gregory and Matthew Shapiro, 1986. Do We Reject Too Often? Smallsample Properties of Tests of Rational Expectations Models, Economics Letters 20, pages 139-145.

11. Nelson, Charles and Myung Kim 1993. Predictable Stock Returns: The Role of Smallsample Bias, Journal of Finance 48, pages 641-661.
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12. Rapach, David E. and Mark E. Wohar, 2006. In-sample vs. out-of-sample tests of stock return predictability in the context of data mining, Journal of Empirical Finance, Elsevier, vol. 13(2), pages 23 1-247, March.

13. Stambaugh, Robert F., 1986. Bias in Regression with Lagged Stochastic Regressors, CRSP Working Paper No. 156, University of Chicago.
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14. Stambaugh, Robert F., 1999. Predictive Regression, Journal of Financial Economics, 54, pages 375-421.

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

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6. Waves in Ship Prices and Investment. (2013). Hanson, Samuel ; Greenwood, Robin.
   In: NBER Working Papers.
   RePEc:nbr:nberwo:19246.

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7. 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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8. 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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9. 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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10. 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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11. 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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12. End-of-the-year economic growth and time-varying expected returns. (2012). Møller, Stig ; Moller, Stig V. ; Rangvid, Jesper .
    In: CREATES Research Papers.
    RePEc:aah:create:2012-42.

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13. Asset Priving and Ambiguity: Empirical Evidence. (2011). Brenner, Menachem ; Izhakian, Yehuda.
    In: Working Papers.
    RePEc:ste:nystbu:11-10.

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14. 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, .
    In: Working Papers.
    RePEc:ptu:wpaper:w201126.

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15. The volatility of consumption-based stochastic discount factors and economic cycles. (2011). Nieto, Belen ; Rubio, Gonzalo.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:35:y:2011:i:9:p:2197-2216.

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16. Fixed-income fund performance: Role of luck and ability in tail membership. (2011). Kryzanowski, Lawrence ; Ayadi, Mohamed A..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:18:y:2011:i:3:p:379-392.

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17. A control function approach for testing the usefulness of trending variables in forecast models and linear regression. (2011). Elliott, Graham.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:164:y:2011:i:1:p:79-91.

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

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20. Characteristic Timing. (2010). Hanson, Samuel ; Greenwood, Robin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:15948.

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21. 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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22. 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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23. 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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24. 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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25. 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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26. Investor sentiment and stock returns: Some international evidence. (2009). Schmeling, Maik.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:3:p:394-408.

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

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28. International Stock Return Predictability Under Model Uncertainty. (2008). Schrimpf, Andreas.
    In: ZEW Discussion Papers.
    RePEc:zbw:zewdip:7358.

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29. Catering Through Nominal Share Prices. (2008). Wurgler, Jeffrey ; Baker, Malcolm ; Greenwood, Robin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:13762.

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30. Investor sentiment and stock returns: Some international evidence. (2008). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-407.

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31. Predicting global stock returns. (2008). Hjalmarsson, Erik.
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:933.

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32. Jackknifing stock return predictions. (2008). Hjalmarsson, Erik ; Chiquoine, Benjamin .
    In: International Finance Discussion Papers.
    RePEc:fip:fedgif:932.

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33. 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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34. 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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35. 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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36. Forecasting aggregate stock returns using the number of initial public offerings as a predictor. (2008). Kolev, Gueorgui I..
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-08g10009.

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37. 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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38. 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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39. Measuring time-varying economic fears with consumption-based stochastic discount factors. (2007). Nieto, Belen ; Rubio, Gonzalo.
    In: Economics Working Papers.
    RePEc:upf:upfgen:1029.

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40. Covariance-based orthogonality tests for regressors with unknown persistence. (2007). Shimotsu, Katsumi ; Maynard, Alex.
    In: Working Papers.
    RePEc:qed:wpaper:1122.

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41. Institutional and individual sentiment: Smart money and noise trader risk?. (2007). Schmeling, Maik.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:23:y:2007:i:1:p:127-145.

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42. 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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43. 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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44. Reconciling the Return Predictability Evidence. (2006). Van Nieuwerburgh, Stijn ; Lettau, Martin.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12109.

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45. Institutional and Individual Sentiment: Smart Money and Noise Trader Risk. (2006). Schmeling, Maik.
    In: Hannover Economic Papers (HEP).
    RePEc:han:dpaper:dp-337.

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46. World markets for raising new capital. (2006). Weisbach, Michael ; Henderson, Brian J. ; Jegadeesh, Narasimhan.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:82:y:2006:i:1:p:63-101.

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47. The Myth of Long-Horizon Predictability. (2005). Boudoukh, Jacob ; Whitelaw, Robert ; Richardson, Matthew.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:11841.

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48. Market Timing And Model Uncertainty: An Exploratory Study For The Swiss Stock Market. (2005). Rey, David.
    In: Financial Markets and Portfolio Management.
    RePEc:kap:fmktpm:v:19:y:2005:i:3:p:239-260.

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49. Hypothesis Testing in Predictive Regressions. (2004). Hurvich, Clifford ; Amihud, Yakov ; Wang, YI.
    In: Finance.
    RePEc:wpa:wuwpfi:0412022.

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

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