Concepedia

Expected Return Predictability

Expected Return Predictability is an empirical asset pricing concept that refers to the capacity of observable variables or models to systematically forecast the future returns of financial assets beyond what is implied by market efficiency, distinguishing it from speculative or random return variations.

146

Publications

14K

Citations

277

Authors

219

Institutions

Publications per year

2017–2026

49

Parents

Publications

146

Economic Links and Predictable Returns

Lauren Cohen, Andrea Frazzini · The Journal of Finance · 2008 · 1.4K citations · Full text

, , +17

The Dog That Did Not Bark: A Defense of Return Predictability

John H. Cochrane · Review of Financial Studies · 2007 · 1.3K citations · Full text

, , +12

The Risk and Predictability of International Equity Returns

Wayne E. Ferson, Campbell R. Harvey · Review of Financial Studies · 1993 · 969 citations

, , +17

The Risk and Predictability of International Equity Returns

Wayne E. Ferson, Campbell R. Harvey · Review of Financial Studies · 1993 · 682 citations

, , +17

Evaporating Liquidity

Stefan Nagel · Review of Financial Studies · 2012 · 557 citations

, , +16

1–5 of 146

Authors

277

  1. GZ
    Guofu Zhou

    Washington University in St. Louis, United States

    5 publications · 280 citations

    5

    h-index

  2. TB
    Tim Bollerslev

    Duke University, United States

    4 publications · 384 citations

    4

    h-index

  3. LX
    Lai Xu

    Syracuse University, United States

    4 publications · 384 citations

    4

    h-index

  4. JC
    Jie Cao

    Hong Kong Polytechnic University, Hong Kong SAR China

    4 publications · 219 citations

    4

    h-index

  5. JM
    James Marrone

    University of Chicago, United States

    4 publications · 384 citations

    4

    h-index

1–5 of 277

Institutions

219

  1. National Bureau of Economic Research

    Cambridge, United States

    12 h-index

    19 publications

    2K citations

  2. University of Chicago

    Chicago, United States

    9 h-index

    9 publications

    1.9K citations

  3. Aarhus University

    Aarhus, Denmark

    7 h-index

    11 publications

    485 citations

  4. Centre for Economic Policy Research

    London, United Kingdom

    6 h-index

    8 publications

    716 citations

  5. Duke University

    Durham, United States

    6 h-index

    8 publications

    2.2K citations

  6. Copenhagen Business School

    Copenhagen, Denmark

    6 h-index

    7 publications

    836 citations

  7. University of Hong Kong

    Pok Fu Lam, Hong Kong

    6 h-index

    9 publications

    335 citations

  8. Washington University in St. Louis

    St Louis, United States

    5 h-index

    5 publications

    280 citations

1–8 of 219

Venues

  1. SSRN Electronic Journal

    Repository · 39 publications · 2K citations

    19

    h-index

  2. Review of Financial Studies

    10 publications · 4.4K citations

    10

    h-index

  3. Journal of Empirical Finance

    7 publications · 635 citations

    8

    h-index

  4. Journal of Banking & Finance

    8 publications · 839 citations

    8

    h-index

  5. Journal of Financial and Quantitative Analysis

    JFQA · 4 publications · 441 citations

    4

    h-index

1–5