Pockets of Predictability: A Replication
复制了Farmer等人关于市场回报可预测性“口袋”的研究，发现其方法存在关键错误（使用双面核而非单面核），纠正后原结论不成立，表明这些“口袋”对预测市场回报帮助不大。
ABSTRACT Farmer, Schmidt, and Timmermann (FST) document time‐variation in market return predictability, identifying “pockets” of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one‐sided kernel, which guarantees out‐of‐sample forecasts, they perform in‐sample estimation with a two‐sided kernel. As a result, future information leaks into the forecasting model, undermining its reliability. Rectifying this error qualitatively alters the findings, invalidating most conclusions of the FST study. Thus, attempts to exploit such “pockets”—should they exist—offer little help in forecasting market returns.