Pockets of Predictability: A Replication
成果类型：
Article; Early Access
署名作者：
Cakici, Nusret; Fieberg, Christian; Neumaier, Tobias; Poddig, Thorsten; Zaremba, Adam
署名单位：
Fordham University; University of Luxembourg; Concordia University - Canada; University of Bremen; Poznan University of Economics & Business; Monash University
刊物名称：
JOURNAL OF FINANCE
ISSN/ISSBN：
0022-1082
DOI：
10.1111/jofi.13484
发表日期：
2025
关键词：
摘要：
Farmer, Schmidt, and Timmermann (FST) document time-variation in market return predictability, identifying pockets of significant predictability through kernel regressions. However, our analysis reveals a critical discrepancy between the method outlined by FST and the code actually implemented. Instead of using a one-sided kernel, which guarantees out-of-sample forecasts, they perform in-sample estimation with a two-sided kernel. As a result, future information leaks into the forecasting model, undermining its reliability. Rectifying this error qualitatively alters the findings, invalidating most conclusions of the FST study. Thus, attempts to exploit such pockets-should they exist-offer little help in forecasting market returns.