Virginia TechCooper, MichaelGulen, Huseyin2014-06-272014-06-272006-05Michael Cooper and Huseyin Gulen. "Is Time_Series_Based Predictability Evident in Real Time?," The Journal of Business, Vol. 79, No. 3 (May 2006), pp. 1263-1292. DOI: 10.1086/5006760021-9398http://hdl.handle.net/10919/49134We show that out-of-sample tests used in the timeseries predictability literature may suffer from test size problems related to the common practice of exogenous specification of critical parameters, such as the choice of predictive variables, traded assets, and in-sample estimation periods. We perform specification searches across these parameters and find that rejections of the null hypothesis of no predictability are very sensitive to minor variations in parameter specification. We perform simulations to determine if the observed predictability in the data is real. The simulations suggest that much of the literature's out-of-sample evidence of time-series-based predictability is consistent with data snooping.application/pdfenIn Copyrightexpected stock returnsarbitrage pricing theorymutual fundPerformancebook-to-marketPerformance--Investmenteconomic-significancedividend yieldsselectionmodelsriskbusinessArticle - Refereedhttp://www.jstor.org/stable/10.1086/500676https://doi.org/10.1086/500676