In-sample vs. out-of-sample tests of stock return predictability in the context of data mining

A Simple, Positive Semi-Definite, Heteroskedasticity and Autocorrelation Consistent Covariance Matrix

Whitney K. Newey, Kenneth D. West · Econometrica · 1987 · 17.1K citations

Social Sciences, Economics, Econometrics +10

Efficient Capital Markets: II

Eugene F. Fama · The Journal of Finance · 1991 · 5.2K citations · Full text

Social Sciences, Business Economics, Economics +12

Business conditions and expected returns on stocks and bonds

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1989 · 4.2K citations

Business, Economics, Finance +12

The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors

John Y. Campbell, Robert J. Shiller · Review of Financial Studies · 1988 · 4K citations · Full text

Business, Business Economics, Economics +13

Dividend yields and expected stock returns

Eugene F. Fama, Kenneth R. French · Journal of Financial Economics · 1988 · 3.7K citations

Business, Economics, Finance +14