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Long-Horizon Predictability: A Cautionary Tale
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DOI：10.1080/0015198X.2018.1547056.png)
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Long-horizon return regressions effectively have small sample sizes. Using overlapping long-horizon returns provides only marginal benefit. Adjustments for overlapping observations have greatly overstated t-statistics. The evidence from regressions at multiple horizons is often misinterpreted. As a result, much less statistical evidence of long-horizon return predictability exists than is implied by research, which casts doubt on claims about forecasts based on stock market valuations and factor timing.
Keyword:
STOCK RETURNS
TEMPORARY COMPONENTS
EQUITY
TESTS
HETEROSKEDASTICITY
INFERENCE
EARNINGS
SAMPLE
RATES
RATIO
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