NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Forecasting Stock Market Returns: The Sum of the Parts is More than the Whole

Miguel A. Ferreira, Pedro Santa-Clara

NBER Working Paper No. 14571
Issued in December 2008

---- Acknowledgements -----

We thank Michael Brandt, John Campbell, Amit Goyal, Lubos Pastor, Ivo Welch, and seminar participants at Barclays Global Investors, Manchester Business School, and University of Piraeus for helpful comments. 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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