The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors:
www.nber.org/papers/w2100
On Persistence in Mutual Fund Performance:
onlinelibrary.wiley....-6261.1997.tb03808.x
Multifactor Explanations of Asset Pricing Anomalies:
onlinelibrary.wiley....-6261.1996.tb05202.x
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction:
deliverypdf.ssr...om/delivery.php?ID=5970951...
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis:
rady.ucsd.edu/facult...b/docs/bootstrap.pdf
Consumption, Aggregate Wealth, and Expected Stock Returns:
www.newyorkfed.org/r...ff_reports/sr77.html
Do the Fama-French Factors Proxy for Innovations in Predictive Variables?:
efmaefm.org/0efmamee...9_0243_fullpaper.pdf
Further readings:
The Econometrics of Financial Markets
by John Y. Campbell, Andrew W. Lo, A.Craig MacKinlay
Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition
by Keith Cuthbertson, Dirk Nitzsche
www.nber.org/papers/w2100
On Persistence in Mutual Fund Performance:
onlinelibrary.wiley....-6261.1997.tb03808.x
Multifactor Explanations of Asset Pricing Anomalies:
onlinelibrary.wiley....-6261.1996.tb05202.x
A Comprehensive Look at The Empirical Performance of Equity Premium Prediction:
deliverypdf.ssr...om/delivery.php?ID=5970951...
Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis:
rady.ucsd.edu/facult...b/docs/bootstrap.pdf
Consumption, Aggregate Wealth, and Expected Stock Returns:
www.newyorkfed.org/r...ff_reports/sr77.html
Do the Fama-French Factors Proxy for Innovations in Predictive Variables?:
efmaefm.org/0efmamee...9_0243_fullpaper.pdf
Further readings:
The Econometrics of Financial Markets
by John Y. Campbell, Andrew W. Lo, A.Craig MacKinlay
Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition
by Keith Cuthbertson, Dirk Nitzsche