Stock Return Predictability
Research on Stock Return Predictability
Habit Formation, the Cross Section of Stock Returns and the Cash Flow Risk Puzzle (with Tano Santos). Journal of Financial Economics. November 2010, 98, 2, 385 – 413.
Labor Income and Predictable Stock Returns (with Tano Santos), Review of Financial Studies, 19, Spring 2006 (Lead Article).
Understanding Predictability, (with Lior Menzly and Tano Santos), Journal of Political Economy, 112, 1, February 2004 (Lead Article), (link to JPE Electronic Edition.)
Conditional Betas (with Tano Santos), March 2004.
Related Topics and Notes
Modeling Multivariate Processes on the Unit Simplex (with Tano Santos)