Cross-predictability denotes the fact that some assets can predict other assets' returns. I propose a novel performance …'s signal for other assets' returns (cross-predictive signals) and the amount of an asset's return explained by other assets …' signals (cross-predicted returns). Empirically, the latter component dominates the former in the overall cross …

Many modern macro finance models imply that excess returns on arbitrary assets are predictable via the price … such a model to explain the cross-section of expected returns by sorting stocks based on the sensitivity of expected … returns to these quantities. Models with only one uncertainty-related state variable, like the habit model or the long …

equilibrium model, we show that 'late' stocks can only have higher expected returns than 'early' stocks, if the investor exhibits …

and stock returns. …