TAILIEUCHUNG - On the Predictability of Stock Returns in Real Time*

For instance the Australian Corporate Governance Council, which developed the national corporate governance recommendations, was formed and chaired by the ASX. Likewise, the Danish recommendations for corporate governance have been drafted by the Committee on Corporate Governance of the Copenhagen Stock Exchange (now part of NASDAQ OMX). Euronext participated in the Lippens Commission which drafted the Belgian corporate governance code. Similar initiatives by stock exchanges are ongoing – last year, Euronext Lisbon contributed to the work of the Portuguese Institute for Corporate Governance which drafted the proposal for a code currently under consideration. Table 2 summarises the relevant. | Michael Cooper Purdue University Roberto c. Gutierrez Jr. University of Oregon Bill Marcum Wake Forest University On the Predictability of Stock Returns in Real Time In the last 30years financial economists have documented ample evidence that both the trnte series andthe cross section of stock returns Recently economists even extended this evidence of predictability to pre-Compustat and foreign stock All this We appreciate helpful discussions with Brian Balyeat Jennifer Conrad Kent Daniel David Denis Diane Denis David Downs Ken French Huseyin Gulen Cam Harvey Arvind Mahajan Stewart Mayhew Richard McEnally Darius Miller Christo Pứinsky Raghu Rau Henri Servaes Steve Slezak and srnimir participants atArizona StatcUniversity Louisiana State UnlversityofChicago Puodue UnAerm aerarA UmvershyiUaivarctJy itS GeorgiaiUmyerieyoa Mirmá Uorvnratyof North Carehna Umoershycf Wircoesm the Tnntv Avaoul fonferevce ten Finavoioi Ocoaamift ft Ac-aeontiiiu al era UsavusOy of Loxan endrhoUOOI WeoLem Ft-. 0 AtsocOrtion UeoLnesand the ccmmeatsoSan anonymeas referee. We ank uiko cuff for genci ously pros- idinAcompita tational assistance. 1. Basu 1977 Banz 1981 Chen Roll and Ross 1986 Keim and Stambaugh 1986 Campbell 1987 Fama and French 1988 t9Ot 1993 Potenba andSummers 9988 i Ookoioshok SlilyiOer eeO Vis9ny 1994f JT0annes9 S9T0r VeT9deesTann TiLnan 199O WeSXDimtelhnd Timnan .990 aodConroO aoU Kaul majarerustofvw. 2. Thhiirdk t aicerevmR oma i eseriar t ies notehnentme lOu ceetdos that VrnoeefOectOtU tDaais e994O Davis Oama and FrenaL O20 dra Chi n HamaOifnd Leknmeshod away Heivey 019K1 B9ktlertandHodrsckalL92 RouwenhoaaerSga8e mdOamoondFaenek 1L9V . Jt td-nof oIaPi 7ooaa 2005 OS. 2p OVOObyThaUmverrtSe O Chivag oAllrtgO1rroscrva n oo9rs9398 469 Researchers have documented an abundance of evidence that stock returns are predictable ex post facto. In this study we address the ex ante predictability of the .

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