Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?
---- Acknowledgements -----
We are grateful to John Campbell, John Cochrane, Joel Dickson, Itamar Drechsler, Bjorn Eraker, Martin Lettau, Stijn Van Nieuwerburgh, Lubos Pastor, Jay Shanken, Robert Stambaugh, Alexander Stremme, Ivo Welch, Amir Yaron, Motohiro Yogo, and seminar participants at the 2005 CIRANO-CIREQ Financial Econometrics Conference, the 2006 AFA meetings, the 2006 SED meetings, the 2007 D-CAF Conference on Return Predictability, Harvard University, the Vanguard Group, and at the Wharton School for helpful comments. We are grateful for financial support from the Aronson+Johnson+Ortiz fellowship through the Rodney L. White Center for Financial Research. This manuscript does not reflect the views of the Board of Governors of the Federal Reserve or those of the National Bureau of Economic Research.