NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Efficient Tests of Stock Return Predictability

John Y. Campbell, Motohiro Yogo

NBER Working Paper No. 10026
Issued in October 2003

---- Acknowledgements -----

We have benefited from comments and discussions by Andrew Ang, Geert Bekaert, Jean-Marie Dufour, Markku Lanne, Marcelo Moreira, Robert Shiller, Robert Stambaugh, James Stock, Mark Watson, the referees, and seminar participants at Harvard, the Econometric Society Australasian Meeting 2002, the NBER Summer Institute 2003, and the CIRANO-CIREQ Financial Econometrics Conference 2004.

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