@techreport{NBERw4997,
 title = "On the Predictability of Stock Returns: An Asset-Allocation Perspective",
 author = "Shmuel Kandel and Robert F. Stambaugh",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "4997",
 year = "1995",
 month = "January",
 URL = "http://www.nber.org/papers/w4997",
 abstract = {The predictability of monthly stock returns is investigated from the perspective of a risk-averse investor who uses the data to update initially vague beliefs about the conditional distribution of returns. The optimal stocks-versus-cash allocation of the investor can depend importantly on the current value of a predictive variable, such as dividend yield, even though a null hypothesis of no predictability might not be rejected at conventional significance levels.  When viewed in this economic context, the empirical evidence indicates a strong degree of predictability in monthly stock returns.},
}