@techreport{NBERw5027,
 title = "Maximizing Predictability in the Stock and Bond Markets",
 author = "Andrew W. Lo and A. Craig MacKinlay",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "5027",
 year = "1995",
 month = "February",
 URL = "http://www.nber.org/papers/w5027",
 abstract = {We construct portfolios of stocks and of bonds that are maximally predictable with respect to a set of ex ante observable economic variables, and show that these levels of predictability are statistically significant, even after controlling for data-snooping biases.  We disaggregate the sources for predictability by using several asset groups, including industry-sorted portfolios, and find that the sources of maximal predictability shift considerably across asset classes and sectors as the return-horizon changes.  Using three out-of-sample measures of predictability, we show that the predictability of the maximally predictable portfolio is genuine and economically significant.},
}