A Frequency-Domain Alternative to Long-Horizon Regressions with Application to Return Predictability, Natalia Sizova – Rice University, July 24, 2013
“This paper aims at improved accuracy in testing for long-run predictability in noisy series, such as stock market returns. Long-horizon regressions have previously been the dominant approach in this area. We suggest an alternative method that yields more accurate results. We find evidence of predictability in S&P 500 returns even when the confidence intervals are constructed using model-free methods based on sub-sampling.”