A New Predictability Pattern in the US Stock Market Returns
研究发现美国股票市场月度回报率在滞后5个月时具有预测能力，这一市场范围的可预测性在大盘股和成长股中尤为明显，且不能被常见风险因子解释，还与日历效应有关。
This article documents a new stock market anomaly that seems to have escaped the attention of both investment professionals and academics. For more than a century, the monthly market return has been predicted by the monthly market return at lag 5. This predictability is marketwide and is most evident in the returns of portfolios of large and growth stocks. The trading strategy incorporating this predictability yields superior performance that cannot be attributed to common risk factors. A closer investigation of the new anomaly reveals that not each calendar month possesses predictive ability. Therefore, there is a link between the new anomaly and calendar effects in stock returns.