Stock returns predictability exploited by investors in volatile markets for profits.
The article looks at whether U.S. stock returns can be predicted and if investors could have made more money than just holding onto stocks. The researchers found that different economic factors can predict stock returns, but this changes over time and depends on how volatile the market is. In the 1960s, it was hard to predict stock returns, but in the 1970s, it became easier, allowing investors to make profits even after transaction costs.