Motivated from Fama’s (1991) conjecture of an explicit link between the cross-sectional and time-series stock return predictability, we investigate whether the investment factor constructed from the cross-section of stocks also has time-series predictive power for stock returns within...

This paper presents comprehensive empirical evidence on the dynamics and causality within 30 US industry-specific volatilities during July 1963 and June 2008. We find that linear trends are present in 17 of the 30 industry volatilities. Granger-causality tests reveal that the industry of...

Using monthly stock and bond return data in the past 150 years (1855-2001) for both the US and the UK, this study documents time-varying stock-bond correlation over macroeconomic conditions (the business cycle, the inflation environment and monetary policy stance). There are different patterns...