We investigate the predictive power of several innovative tradable risk factors that have proved to be competent factors in recent asset pricing studies. Our evidence indicates that all these risk factors can predict the future state of the economy to some significant extent, and they appear to perform better in short‐horizon than in long‐horizon forecasting. Using a bootstrap simulation, our estimations of bootstrapped critical values robustly reject the criticism that our significance of statistics is overstated or understated. Such results lend support to Cochrane's argument: that a competent pricing risk factor in a plausible pricing kernel may predict the future state of economy.