Instability of return prediction models

Ait-Sahalia, 2001, Variable selection for portfolio choice, Journal of Finance, 56, 1297, 10.1111/0022-1082.00369 Andreou, 2002, Detecting multiple breaks in financial market volatility dynamics, Journal of Applied Econometrics, 17, 579, 10.1002/jae.684 Andreou, 2003, Tests for breaks in the conditional co-movements of asset returns, Statistica Sinica, 13, 1045 Andrews, 1993, Tests for parameter instability and structural change with unknown change point, Econometrica, 61, 821, 10.2307/2951764 Andrews, 1992, An improved heteroskedasticity and autocorrelation consistent covariance matrix estimator, Econometrica, 60, 953, 10.2307/2951574 Andrews, 1994, Optimal tests when a nuisance parameter is present only under the alternative, Econometrica, 62, 1383, 10.2307/2951753 Ang, A., Bekaert, G., 2004. Stock return predictability: Is it there? Manuscript, Columbia University and NBER. Avramov, 2002 Bai, 1997, Estimation of a change point in multiple regression models, Review of Economics and Statistics, 79, 551, 10.1162/003465397557132 Bai, 2000, Vector autoregressive model with structural changes in regression coefficients and in variance–covariance matrices, Annals of Economics and Finance, 1, 303 Bai, 1998, Estimating and testing linear models with multiple structural changes, Econometrica, 66, 47, 10.2307/2998540 Bai, 2003, Computation and analysis of multiple structural change models, Journal of Applied Econometrics, 18, 1, 10.1002/jae.659 Bai, J., Perron, P., in press. Multiple structural change models: A simulation analysis. In: Corbea, D., Durlauf, S., Hansen, B.E. (eds.), Econometric theory and practice: Frontiers of analysis and applied research, Cambridge University Press. Bai, 1998, Testing for and dating breaks in multivariate time series, Review of Economic Studies, 65, 395, 10.1111/1467-937X.00051 Barberis, 2000, Investing for the long run when returns are predictable, Journal of Finance, 55, 225, 10.1111/0022-1082.00205 Bekaert, 2001, Editors foreword, Journal of Empirical Finance, 8, 451, 10.1016/S0927-5398(01)00048-2 Bekaert, 1992, Characterizing predictable components in excess returns in equity and foreign exchange markets, Journal of Finance, 47, 467, 10.2307/2329113 Bossaerts, 1999, Implementing statistical criteria to select return forecasting models: what do we learn?, Review of Financial Studies, 12, 405, 10.1093/rfs/12.2.405 Boudoukh, 2004, On the implications of measuring payout yield: implications for empirical asset pricing, vol. 10651 Brandt, 1999, Estimating portfolio and consumption choice: A conditional Euler equations approach, Journal of Finance, 54, 1609, 10.1111/0022-1082.00162 Campbell, 1987, Stock returns and the term structure, Journal of Financial Economics, 18, 373, 10.1016/0304-405X(87)90045-6 Campbell, 2003, Consumption-based asset pricing, vol. 1B, 803 Campbell, 1999, By force of habit: a consumption-based explanation of aggregate stock market behavior, Journal of Political Economy, 107, 205, 10.1086/250059 Campbell, 1988, Stock prices, earnings, and expected dividends, Journal of Finance, 43, 661, 10.2307/2328190 Campbell, 1998, Consumption and portfolio decisions when expected returns are time varying, Quarterly Journal of Economics, 114, 433, 10.1162/003355399556043 Campbell, 2004, Efficient tests of stock return predictability Cavanagh, 1995, Inference in models with nearly integrated regressors, Econometric Theory, 11, 1131, 10.1017/S0266466600009981 Christopherson, 1998, Conditioning manager alphas on economic information: another look at the persistence of performance, Review of Financial Studies, 11, 111, 10.1093/rfs/11.1.111 Cochrane, 1991, Production-based asset pricing and the link between stock returns and economic fluctuations, Journal of Finance, 46, 209, 10.2307/2328694 Cooper, 2005, On the predictability of stock returns in real time, Journal of Business, 78, 10.1086/427635 Diebold, 1996, Testing structural stability with endogenous break point: a size comparison of analytic and bootstrap procedures, Journal of Econometrics, 70, 221, 10.1016/0304-4076(94)01690-9 Dimson, 1999, Murphy's law and market anomalies, Journal of Portfolio Management, 25, 53, 10.3905/jpm.1999.319734 Elliott, 2003, Optimally testing general breaking processes in linear time series models Fama, 1988, Dividend yields and expected stock returns, Journal of Financial Economics, 22, 3, 10.1016/0304-405X(88)90020-7 Fama, 1977, Asset returns and inflation, Journal of Financial Economics, 5, 115, 10.1016/0304-405X(77)90014-9 Ferson, 1996, Measuring fund strategy and performance in changing economic conditions, Journal of Finance, 51, 425, 10.2307/2329367 Ferson, 1991, The variation of economic risk premiums, Journal of Political Economy, 99, 385, 10.1086/261755 Franzini, 1993, Testing for deterministic trend and seasonal components in time series models, Biometrika, 70, 673, 10.1093/biomet/70.3.673 French, 1987, Expected stock returns and volatility, Journal of Financial Economics, 19, 3, 10.1016/0304-405X(87)90026-2 Ghysels, 1998, On stable factor structures in the pricing of risk: do time-varying betas help or hurt?, Journal of Finance, 53, 549, 10.1111/0022-1082.224803 Goetzmann, 1993, Testing the predictive power of dividend yields, Journal of Finance, 48, 663, 10.2307/2328917 Goyal, 2003, Predicting the equity premium with dividend ratios, Management Science, 49, 639, 10.1287/mnsc.49.5.639.15149 Grullon, 2002, Dividends, share repurchases, and the substitution hypothesis, Journal of Finance, 57, 1649, 10.1111/1540-6261.00474 Hansen, 2000, Testing for structural change in conditional models, Journal of Econometrics, 97, 93, 10.1016/S0304-4076(99)00068-8 Hjalmarsson, 2004, On the predictability of global stock returns Hodrick, 1992, Dividend yields and expected stock returns: Alternative procedures for inference and measurement, Review of Financial Studies, 5, 357, 10.1093/rfs/5.3.357 Inoue, 2004, In-sample or out-of-sample tests of predictability: which one should we use?, Econometric Reviews, 23, 371, 10.1081/ETC-200040785 Kandel, 1996, On the predictability of stock returns: an asset allocation perspective, Journal of Finance, 51, 385, 10.2307/2329366 Keim, 1986, Predicting returns in the stock and bond markets, Journal of Financial Economics, 17, 357, 10.1016/0304-405X(86)90070-X Kim, 2000 Lamont, 1998, Earnings and expected returns, Journal of Finance, 53, 1563, 10.1111/0022-1082.00065 Lettau, 2001, Consumption, aggregate wealth, and expected stock returns, Journal of Finance, 56, 815, 10.1111/0022-1082.00347 Lewellen, 2004, Predicting returns with financial ratios, Journal of Financial Economics, 74, 209, 10.1016/j.jfineco.2002.11.002 Marquering, 2004, The economic value of predicting stock index returns and volatility, Journal of Financial and Quantitative Analysis, 39, 407, 10.1017/S0022109000003136 Nelson, 1993, Predictable stock returns: the role of small sample bias, Journal of Finance, 48, 641, 10.2307/2328916 Pastor, 2001, The equity premium and structural breaks, Journal of Finance, 56, 1207, 10.1111/0022-1082.00365 Perez-Quiros, 2000, Firm size and cyclical variations in stock returns, Journal of Finance, 55, 1229, 10.1111/0022-1082.00246 Perron, 1989, The great crash, the oil price shock and the unit root hypothesis, Econometrica, 57, 1361, 10.2307/1913712 Pesaran, 1995, Predictability of stock returns: robustness and economic significance, Journal of Finance, 50, 1201, 10.2307/2329349 Pesaran, 2002, Market timing and return prediction under model instability, Journal of Empirical Finance, 9, 495, 10.1016/S0927-5398(02)00007-5 Pesaran, M.H., Timmermann, A., in press. Selection of Estimation Window in the Presence of Breaks. Journal of Econometrics. Pettenuzzo, D., Timmermann, A., 2005. Predictability of Stock Returns and Asset Allocation under Structural Breaks. Mimeo UCSD. Qu, 2004, Estimating and testing structural changes in multivariate regressions Rapach, 2005 Rapach, 2002 Shively, 1988, An analysis of tests for regression coefficient stability, Journal of Econometrics, 39, 367, 10.1016/0304-4076(88)90064-4 Sowell, 1996, Optimal tests for parameter instability in the generalized method of moments framework, Econometrica, 64, 1085, 10.2307/2171957 Stambaugh, 1999, Predictive regressions, Journal of Financial Economics, 54, 375, 10.1016/S0304-405X(99)00041-0 Stock, 1996, Evidence on structural instability in macroeconomic time series relations, Journal of Business and Economic Statistics, 14, 11, 10.2307/1392096 Sullivan, 1999, Data-snooping, technical trading rule performance, and the bootstrap, Journal of Finance, 54, 1647, 10.1111/0022-1082.00163 Whitelaw, 1994, Time variations and covariations in the expectation and volatility of stock market returns, Journal of Finance, 49, 515, 10.2307/2329161 Valkanov, 2003, Long horizon regressions: theoretical results and applications, Journal of Financial Economics, 68, 201, 10.1016/S0304-405X(03)00065-5 Viceira, L.M., 1997. Testing for strutural change in the predictability of asset returns, Manuscript, Harvard University. Yao, 1988, Estimating the number of change-points via Schwarz' criterion, Statistics and Probability Letters, 6, 181, 10.1016/0167-7152(88)90118-6