Robert J. Hodrick

TL;DR: In this article, a procedure for representing a times series as the sum of a smoothly varying trend component and a cyclical component is proposed, and the nature of the comovements of the cyclical components of a variety of macroeconomic time series is documented.

TL;DR: In this article, the authors examine the pricing of aggregate volatility risk in the cross-section of stock returns and find that stocks with high sensitivities to innovations in aggregate volatility have low average returns.

TL;DR: In this paper, the authors examined the pricing of aggregate volatility risk in the cross-section of stock returns and found that stocks with high sensitivities to innovations in aggregate volatility have low average returns.

TL;DR: In this article, the authors examined the hypothesis that the expected rate of return to speculation in the forward foreign exchange market is zero; that is, the logarithm of the forward exchange rate is the market's conditional expectation of the future spot rate, and they were able to reject the simple market efficiency hypothesis for exchange rates from the 1970s and the 1920s.

TL;DR: In this article, alternative ways of conducting inference and measurement for long-horizon forecasting are explored with an application to dividend yields as predictors of stock returns, including an estimator derived under the null hypothesis as in Richardson and Smith (1989), a reformulation of the regression as in Jegadeesh (1990), and a vector autoregression (VAR) as in Campbell and Shiller (1988), Kandel and Stambaugh (1988, and Campbell (1991).