Mosaics of Predictability
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资源简介：
We argue that return predictability is a latent, asset-specific, and state-dependent characteristic. We develop an interpretable Panel Tree that endogenously partitions the U.S. equity panel into out-of-sample and persistent mosaic patterns, and estimate cluster-specific forecasting models.
提供机构：
美国国家经济研究局创建时间：
2026-05-01
