Predictability of Stock Returns: Robustness and Economic Significance
检验美国股票收益可预测性的稳健性，并探讨投资者能否利用这种可预测性获得超过买入并持有策略的利润。研究发现预测能力随时间变化，且与收益波动性相关，在1970年代波动市场中扣除交易成本后仍可获利。
ABSTRACT This article examines the robustness of the evidence on predictability of U.S. stock returns, and addresses the issue of whether this predictability could have been historically exploited by investors to earn profits in excess of a buy‐and‐hold strategy in the market index. We find that the predictive power of various economic factors over stock returns changes through time and tends to vary with the volatility of returns. The degree to which stock returns were predictable seemed quite low during the relatively calm markets in the 1960s, but increased to a level where, net of transaction costs, it could have been exploited by investors in the volatile markets of the 1970s.