-term forecasting errors. …

countries. I construct a global return forecasting factor that is a GDP-weighted average of each country’s local return … forecasting factor and show that it has information not spanned by the traditional level, slope, curvature factors of the term … structure, or by the local return forecasting factors. Including the global forecasting factor in the model produces estimates …

adequately capture the changing nature of economic conditions and hence have limited power in forecasting equity returns. To … stock returns and have more forecasting power than both the historical average of stock returns and commonly used predictors …. The forecasting power exhibits a strong cyclical pattern, implying the ability of adaptive macro indexes to capture time …