A Closer Look at Return Predictability of the US Stock Market: Evidence from a Panel Variance Ratio Test
A 2013 paper by Kim and Shamsuddin on value investing in equities, on a 1964–2011 sample: the abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“A novel panel variance ratio test is proposed and employed to evaluate time-varying return predictability from 1964 to 2011.”
AssetEquities
StrategyValue investingmachine learning
GeographyUS
Sample window1964–2011
Also stated: Fundamentals
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodValue investing by year
FamilyValue investing106Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 896
AssetEquities89
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