NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Predictive Systems: Living with Imperfect Predictors

Lubos Pastor, Robert F. Stambaugh

NBER Working Paper No. 12814
Issued in January 2007

---- Acknowledgements -----

Graduate School of Business, University of Chicago, NBER, and CEPR (Pastor) and the Wharton School, University of Pennsylvania, and NBER (Stambaugh). Helpful comments were received from seminar participants at the Fall 2006 NBER Asset Pricing Meeting, the Wharton Frontiers of Investing conference, Boston College, Hong Kong University of Science and Technology, National University of Singapore, Singapore Management University, University of Chicago, University of Iowa, University of Michigan, University of Pennsylvania, University of Texas at Austin, and University of Texas at Dallas. We also thank Ken French, Pietro Veronesi, and especially Jonathan Lewellen (NBER discussant) and John Cochrane for many helpful suggestions. The views expressed herein are those of the author(s) and do not necessarily reflect the views of the National Bureau of Economic Research.

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