Do Cross-Sectional Predictors Contain Systematic Information?
研究了常用于预测横截面股票收益的变量（如市盈率、空头头寸）能否用于预测市场整体收益，发现这些变量在时间序列预测中表现不佳，尤其是样本外预测，表明它们通常不包含系统性信息。
Abstract Firm-level variables that predict cross-sectional stock returns, such as price-to-earnings and short interest, are often averaged and used to predict market returns. Using various samples of cross-sectional predictors and accounting for the number of predictors and their interdependence, we find only weak evidence that cross-sectional predictors make good time-series predictors, especially out-of-sample. The results suggest that cross-sectional predictors do not generally contain systematic information.