Concepedia

Equity Return Predictability

Equity Return Predictability is an academic construct in asset pricing that identifies the systematic variation in expected stock returns over time based on observable macroeconomic or financial variables, distinguishing it from models assuming constant expected returns.

1.1K

Publications

128.9K

Citations

1.5K

Authors

864

Institutions

Publications per year

2017–2026

313

Parents

Publications

1.1K

The relationship between return and market value of common stocks

Rolf W. Banz · Journal of Financial Economics · 1981 · 6.1K citations

, , +14

Investor Psychology and Security Market Under‐ and Overreactions

Kent Daniel, David Hirshleifer, Avanidhar Subrahmanyam · The Journal of Finance · 1998 · 5.7K citations · Full text

, , +17

Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?

John Y. Campbell, Samuel B. Thompson · Review of Financial Studies · 2007 · 3K citations · Full text

, , +16

Evidence of Predictable Behavior of Security Returns

Narasimhan Jegadeesh · The Journal of Finance · 1990 · 2.8K citations

, , +17

Expected Stock Returns and Variance Risk Premia

Tim Bollerslev, George Tauchen, Hao Zhou · Review of Financial Studies · 2009 · 1.9K citations

, , +16

1–5 of 1.1K

Authors

1.5K

  1. GZ
    Guofu Zhou

    Washington University in St. Louis, United States

    16 publications · 2.9K citations

    15

    h-index

  2. AT
    Allan Timmermann

    University of California San Diego, United States

    13 publications · 3K citations

    13

    h-index

  3. RG
    Rangan Gupta

    University of Pretoria, South Africa

    13 publications · 507 citations

    12

    h-index

  4. ĽP
    Ľuboš Pástor

    University of Chicago, United States

    11 publications · 2.5K citations

    11

    h-index

  5. DG
    David G. McMillan

    University of Stirling, United Kingdom

    11 publications · 405 citations

    10

    h-index

1–5 of 1.5K

Institutions

864

  1. National Bureau of Economic Research

    Cambridge, United States

    53 h-index

    144 publications

    20.6K citations

  2. University of Chicago

    Chicago, United States

    27 h-index

    46 publications

    10.3K citations

  3. Centre for Economic Policy Research

    London, United Kingdom

    25 h-index

    45 publications

    4.7K citations

  4. University of Pennsylvania

    Philadelphia, United States

    25 h-index

    41 publications

    4.8K citations

  5. New York University

    New York, United States

    22 h-index

    45 publications

    8.2K citations

  6. University of Hong Kong

    Pok Fu Lam, Hong Kong

    22 h-index

    32 publications

    2.4K citations

  7. Cornell University

    Ithaca, United States

    18 h-index

    31 publications

    8.8K citations

  8. Federal Reserve Board of Governors

    Washington D.C., United States

    16 h-index

    27 publications

    3.8K citations

1–8 of 864

Venues

  1. SSRN Electronic Journal

    Repository · 249 publications · 13.2K citations

    59

    h-index

  2. The Journal of Finance

    65 publications · 32.8K citations

    56

    h-index

  3. Review of Financial Studies

    43 publications · 17.8K citations

    36

    h-index

  4. Journal of Financial and Quantitative Analysis

    JFQA · 33 publications · 4.5K citations

    27

    h-index

  5. Journal of Financial Economics

    28 publications · 13.5K citations

    26

    h-index

1–5