This page contains research and presentation material on the topic of
quadratic errors in predictive regressions.
This is joint work with Romain Deguest.
- Welch, I., & Goyal, A. (2008). A comprehensive look at the empirical performance of equity premium prediction. Review of Financial Studies, 21(4), 1455-1508.
- Novy-Marx, R. (2014). Predicting anomaly performance with politics, the weather, global warming, sunspots, and the stars. Journal of Financial Economics, 112(2), 137-146.
DISCLAIMER: the data and code are meant for research and pedagogical use only.