Is Time-Series-Based Predictability Evident in Real Time ? *

@inproceedings{Cooper2002IsTP,
  title={Is Time-Series-Based Predictability Evident in Real Time ? *},
  author={Michael Cooper and Huseyin Gulen},
  year={2002}
}
There now appears to be overwhelming evidence of stock market predictability. A large body of research shows that excess returns on the aggregate market are forecastable from the default spread, dividend yield, dividend payout, the term spread, consumption data, inflation, industrial production, wealth, and labor income, to name but a few variables. Yet, despite this seemingly overwhelming evidence, there appear to be few real-world investors capable of taking advantage of this time-series… CONTINUE READING
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