The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors:
nber.org/papers/w2100

On Persistence in Mutual Fund Performance:
onlinelibrary.wiley.com/doi/full/10.1111/j.1540-6261.1997.tb03808.x

Multifactor Explanations of Asset Pricing Anomalies:
onlinelibrary.wiley.com/doi/10.1111/j.1540-6261.1996.tb05202.x

A Comprehensive Look at The Empirical Performance of Equity Premium Prediction:
deliverypdf.ssrn.com/delivery.php?ID=597095116095089031066024070098071002127063056052064082108093008005093104122112024075053003005120047011112021103067113001123125109082054028068105070077076069088102066061053095100127079120127066012102015011114079023017086065002120113096094067127118085&EXT=pdf&INDEX=TRUE

Can Mutual Fund “Stars” Really Pick Stocks? New Evidence from a Bootstrap Analysis:
rady.ucsd.edu/faculty/directory/timmermann/pub/docs/bootstrap.pdf

Consumption, Aggregate Wealth, and Expected Stock Returns:
newyorkfed.org/research/staff_reports/sr77.html

Do the Fama-French Factors Proxy for Innovations in Predictive Variables?:
efmaefm.org/0efmameetings/EFMA ANNUAL MEETINGS/2009-Milan/papers/EFMA2009_0243_fullpaper.pdf

Further readings:
The Econometrics of Financial Markets
by John Y. Campbell, Andrew W. Lo, A.Craig MacKinlay

Quantitative Financial Economics: Stocks, Bonds and Foreign Exchange, 2nd Edition
by Keith Cuthbertson, Dirk Nitzsche

Beyond Technical Analysispaperresearchstudystudying

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