Disclosure: In addition to being a professor at Yale University, the author is currently working
part-time with Standard & Poor's to produce home price indices; with the Chicago Mercantile …

This paper makes three contributions to the literature on forecasting stock returns. First,
unlike the extant literature on oil price and stock returns, we focus on out-of-sample …

We review the literature on return and cash-flow growth predictability from the perspective of
the present-value identity. We focus predominantly on recent work. Our emphasis is on US …

Our paper reexamines whether 29 variables from 26 papers published after, as well as the
original 17 variables, were useful in predicting the equity premium in-sample and out-of …

This paper, using data for 16 countries, tests whether economic policy uncertainty (EPU)
predicts stock excess returns. First, we show that the ability of EPU to forecast stock returns …

We survey the literature on stock return forecasting, highlighting the challenges faced by
forecasters as well as strategies for improving return forecasts. We focus on US equity …

I will start this lecture with some general thoughts on the determinants of long-term asset
prices such as stock prices or home prices: what, ultimately, drives these prices to change as …

Our article comprehensively reexamines the performance of variables that have been
suggested by the academic literature to be good predictors of the equity premium. We find …

Academic research relies extensively on macroeconomic variables to forecast the US equity
risk premium, with relatively little attention paid to the technical indicators widely employed …

Goyal and Welch argue that the historical average excess stock return forecasts future
excess stock returns better than regressions of excess returns on predictor variables. In this …