作者：Kirby, C
作者单位：Rice University
摘要：Recent studies show that when a regression model is used to forecast stock: and bond returns, the sample R-2 increases dramatically with the length of the return horizon These studies argue, therefore, that long-horizon returns are highly predictable. This article presents evidence that suggests otherwise. Long-horizon regressions can easily yield large values of the sample R-2, even if the population R-2 is small or zero. Moreover, long-horizon regressions with a small or zero population R-2 ...
