-producing industries exhibit widespread predictive ability, consistent withthe gradual diffusion of information across economically linked … industries. Out-of-sample industry return forecasts that incorporate the information in lagged industryreturns are economically …

stock and bond markets and to art market sentiment. It takes about six months for art prices to incorporate information … the short-term. These findings suggest that art market participants react with a delay to information contained in stock … market returns, so that information diffuses only slowly into art prices …

Testing for constant expected returns and forecasting future returns necessitate the information beyond a single …