Pockets of Predictability
研究发现美国股市的回报可预测性只在短暂的时间段内显著，这些“口袋”被长期无预测性的时期隔开，并探讨了其与投资者粘性预期的关系。
ABSTRACT For many benchmark predictor variables, short‐horizon return predictability in the U.S. stock market is local in time as short periods with significant predictability (“pockets”) are interspersed with long periods with no return predictability. We document this result empirically using a flexible time‐varying parameter model that estimates predictive coefficients as a nonparametric function of time and explore possible explanations of this finding, including time‐varying risk premia for which we find limited support. Conversely, pockets of return predictability are consistent with a sticky expectations model in which investors slowly update their beliefs about a persistent component in the cash flow process.