... of “pockets of predictability,” which posits that return predictability is time-varying and that short windows of high predictability can be identified ex ante. In this study, we reassess the robustness and practical applicability of this approach. By analyzing 19,440 variations of the original methodology...

... Neutral Skewness Contain? Evidence From Price Rebounds and Momentum Crashes.” All remaining errors are our own. © 2022 Paul Borochin and Yanhui Zhao 2022 Paul Borochin and Yanhui Zhao Licensed re-use rights only Risk neutral skewness Momentum Return predictability G12 G13...

... and Thanh Huynh Licensed re-use rights only Return predictability Treasury bill rates Trading strategy Out-of-sample forecasts G11 G12 G14 A negative relation between excess stock returns and short-term interest rates is well documented, particularly in data through to the mid...