Long-Horizon Predictability: A Cautionary Tale
指出长期收益率回归有效样本量小，重叠观测调整高估了t统计量，多期回归证据常被误读，因此长期可预测性的统计证据远少于研究暗示，质疑基于估值和因子择时的预测。
Long-horizon return regressions effectively have small sample sizes. Using overlapping long-horizon returns provides only marginal benefit. Adjustments for overlapping observations have greatly overstated t-statistics. The evidence from regressions at multiple horizons is often misinterpreted. As a result, much less statistical evidence of long-horizon return predictability exists than is implied by research, which casts doubt on claims about forecasts based on stock market valuations and factor timing.