Stock Return Predictability: Is It There?

Testing for a unit root in time series regression

1988 • 17,004 citations

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

1987 • 15,268 citations

Large Sample Properties of Generalized Method of Moments Estimators

1982 • 13,306 citations

Testing the null hypothesis of stationarity against the alternative of a unit root

1992 • 11,969 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 8,018 citations

By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior

1999 • 5,300 citations

Asset Prices in an Exchange Economy

1978 • 5,134 citations

The Science of Monetary Policy: A New Keynesian Perspective

1999 • 5,015 citations

Risks for the Long Run: A Potential Resolution of Asset Pricing Puzzles

2004 • 3,950 citations

Dividend yields and expected stock returns

1988 • 3,736 citations

Martingales and arbitrage in multiperiod securities markets

1979 • 3,734 citations

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

1988 • 3,689 citations

Asset returns and inflation

1977 • 2,770 citations

A YIELD‐FACTOR MODEL OF INTEREST RATES

1996 • 2,625 citations

Stock Prices, Earnings, and Expected Dividends

1988 • 2,383 citations

Stock returns and the term structure

1987 • 2,322 citations

Consumption, Aggregate Wealth, and Expected Stock Returns

2001 • 2,298 citations

On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks

1993 • 2,215 citations

Forward Exchange Rates as Optimal Predictors of Future Spot Rates: An Econometric Analysis

1980 • 2,192 citations

A Variance Decomposition for Stock Returns

1991 • 1,817 citations

Predictive regressions

1999 • 1,589 citations

Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement

1992 • 1,304 citations

Stock Return Predictability: Is it There?

2006 • 1,301 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1990 • 1,155 citations

What moves stock prices?

1989 • 1,131 citations

Consumption and Portfolio Decisions when Expected Returns are Time Varying

1999 • 1,090 citations

The Risk and Predictability of International Equity Returns

1993 • 940 citations

Regime Switches in Interest Rates

2002 • 859 citations

Simulated Moments Estimation of Markov Models of Asset Prices

1993 • 680 citations

Earnings and Expected Returns

1998 • 668 citations

The Risk and Predictability of International Equity Returns

1993 • 662 citations

Generalized method of moments specification testing

1985 • 624 citations

Dividend yields and expected stock returns: alternative procedures for inference and measurement

1992 • 607 citations

Economic Significance of Predictable Variations in Stock Index Returns

1989 • 602 citations

Spurious Regressions in Financial Economics?

2003 • 600 citations

Implementing Statistical Criteria to Select Return Forecasting Models: What Do We Learn?

1999 • 576 citations

Characterizing Predictable Components in Excess Returns on Equity and Foreign Exchange Markets

1992 • 534 citations

Stock Return Predictability and The Role of Monetary Policy

1997 • 528 citations

Causal Relations Among Stock Returns, Interest Rates, Real Activity, and Inflation

1992 • 521 citations

Explaining the Variance of Price–Dividend Ratios

1992 • 519 citations

Expected returns and expected dividend growth

2005 • 465 citations

Drawing inferences from statistics based on multiyear asset returns

1989 • 434 citations

Testing the Predictive Power of Dividend Yields

1993 • 404 citations

On Predicting Stock Returns with Nearly Integrated Explanatory Variables

2004 • 370 citations

Consumption-Based Asset Pricing

2003 • 354 citations

Expectations and Volatility of Consumption and Asset Returns

1990 • 335 citations

Predictive Regressions: A Reduced-Bias Estimation Method

2004 • 317 citations

Tests of Financial Models in the Presence of Overlapping Observations

1991 • 276 citations

Expectations Hypotheses Tests

2001 • 269 citations

Data-Snooping Biases in Tests of Financial Asset Pricing Models

1989 • 236 citations

Assessing Goodness‐of‐Fit of Asset Pricing Models: The Distribution of the Maximal R2

1997 • 223 citations

Inference in Time Series Regression When the Order of Integration of a Regressor is Unknown

1994 • 203 citations

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

1999 • 195 citations

Temporary Components of Stock Prices: A Skeptic's View

1993 • 187 citations

A Longer Look at Dividend Yields

1995 • 143 citations

What Moves Stock Prices

1988 • 115 citations

Measuring the Predictable Variation in Stock and Bond Returns

1997 • 111 citations

Temporary Components of Stock Prices: A Skeptic's View

1993 • 103 citations

Stock valuation in dynamic economies

2005 • 102 citations

Stock Returns Predictability and the Role of Monetary Policy

1998 • 83 citations

Stock Returns and Dividend Yields Revisited: A New Way to Look at an Old Problem

2000 • 81 citations

Untitled

2001 • 76 citations

THE STATISTICS OF LONG‐HORIZON REGRESSIONS REVISITED¹

1994 • 61 citations

Stock and Bond Pricing in an Affine Economy

2002 • 56 citations

Financial Market Efficiency Tests

1992 • 46 citations

Assessing Goodness-Of-Fit of Asset Pricing Models: The Distribution of the Maximal R 2

1997 • 44 citations

A Longer Look at Dividend Yields

2006 • 27 citations

A No-Arbitrage Vector Autoregression of Term Structure Dynamics with Macroeconomic and Latent Variables

2001 • 26 citations

Measuring the Predictable Variation in Stock and Bond Returns

1997 • 9 citations

Long-Horizon Regressions: Theoretical Results and Applications to the Expected Returns/Dividend Yields and Fisher Effect Relations

1999 • 6 citations