is highly integrated. Introducing a new World Fear index, we find that local and global aggregate market returns are … mainly driven by global tail risk rather than local tail risk. World fear is also priced in the crosssection of stock returns …. Buying stocks with high sensitivities to World Fear while selling stocks with low sensitivities generates excess returns of …

We investigate the predictive ability of financial and macroeconomic variables for German stock and bond returns using … and changes in short term interest rates are key predicators for stock returns. Additionally, for bond returns, exchanges …

This paper examines the macro-spanning hypothesis for bond returns in international markets. Based on a large panel of … bond returns unspanned by yield factors.Furthermore, we estimate macro-finance term structure models (MTSMs) with the …-movements in forward term premia in global bond markets …

We consider the estimation methods for the rank of a beta matrix corresponding to a multifactor model and study which …