flow and discount rate components of equity returns between 1995 and 2003. Our framework draws upon previously separate … index returns so we can produce a richer characterization of same-industry and same-country effects in stock returns. Unlike … correlation that suggest a richer underlying structure than just a single common global factor. Furthermore, our results suggest …

depending on the stage of the business cycle, which explains the low correlation between stock and bond returns when averaged …

This paper investigates the empirical relation between inflation and stock returns in ten industrialized countries … returns. The empirical results suggest that generally higher inflation is associated with both lower real dividends and lower … required real equity returns in the future. The evidences favors corporate tax-related theories (e.g. Feldstein (1980))--in …

We undertake a decomposition of the risk factor loadings of fifteen national stock market returns from 1972 to 1990 …

of "volatility spillovers" from Japan and the U.S. on the mean and variance of Korean returns. Such spillovers have …

historical risk-adjusted returns. We attribute this finding to the fact that foreign firms that list on U.S. exchanges are …