Naive model outperforms in predicting stock returns, U.S. market efficient.
The study looked at how well we can predict stock returns using different models. They used prediction intervals to show the range of possible outcomes, not just one number. By analyzing data from the U.S. stock market since 1926, they found that a simple model often gave the best predictions, beating more complex models with lots of economic data. This suggests that the U.S. stock market is pretty efficient at using available information to predict future returns.